Ex Parte Gershon

Patent Trial and Appeal Board

Jan 30, 2013

11401466 (P.T.A.B. Jan. 30, 2013)

UNITED STATES PATENT AND TRADEMARK OFFICE
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BEFORE THE PATENT TRIAL AND APPEAL BOARD
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Ex parte DAVID GERSHON
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Appeal 2010-008199
Application 11/401,466
Technology Center 3600
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Before: HUBERT C. LORIN, ANTON W. FETTING, and
JOSEPH A. FISCHETTI, Administrative Patent Judges.

FISCHETTI, Administrative Patent Judge.

DECISION ON APPEAL

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STATEMENT OF CASE
Appellant seeks our review under 35 U.S.C. § 134 from the
Examiner’s final rejection of claims 1-44. We affirm.

THE CLAIMED INVENTION
Appellant claims a method and system of pricing financial
instruments or providing automatic trading capabilities. (Specification
[002]). Claim 1 is illustrative of the claimed subject matter:
1. A computer-based method of pricing a financial instrument
relating to an underlying asset, the method comprising:
receiving by a computing device trade information of a
plurality of traded financial instruments related to said
underlying asset, wherein said trade information includes
information indicative of a plurality of market prices
corresponding to said plurality of traded financial instruments;
determining by the computing device at least one set of
market parameter values based on a predefined criterion applied
to a plurality of sets of said market prices and to a respective
plurality of sets of model prices, wherein each of said sets of
market prices includes one or more market prices corresponding
to a respective one of said plurality of traded financial
instruments, and wherein each of said sets of model prices
includes one or more model prices calculated by a pricing
model based on the trade information corresponding to a
respective one of the plurality of financial instruments; and
estimating by the computing device a price of said
financial instrument using said pricing model based on said at
least one set of market parameter values.

REFERENCES
The prior art relied upon by the Examiner in rejecting the claims on
appeal is:
Jackson US 2006/0036531 A1 Feb. 16, 2006
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Marynowski US 7,177,833 B1 Feb. 13, 2007

REJECTIONS
The following rejections are before us for review.
The Examiner rejected claims 1-3, 7-25, and 29-44 under 35 U.S.C. §
102(e) as anticipated by Marynowski.
The Examiner rejected claims 4-6 and 26-28 under 35 U.S.C. § 103(a)
as unpatentable over Marynowski and Jackson.

FINDINGS OF FACT
We find the following facts by a preponderance of the evidence.
1. Marynowski discloses an option pricing method, stating:
Theoretical price logic 490 generates theoretical prices in
accordance with mathematical models. The mathematical
models produce a theoretical value for an option given values
for a set of option pricing input variables that may change over
time. Option pricing input variables considered in these models
may include (1) the current market price of the underlying
security (e.g., the price of the stock or future from which the
option is derived), (2) interest rates, (3) the future volatility of
underlying security, (4) dividend stream, (5) time until
expiration, (6) whether the option can be exercised before the
expiration date, and (7) whether the option is a call or put.
(Col. 9, ll. 3-14).
2. Marynowski discloses that “implied volatilities may be calculated for
market option bid (ask) prices using, say, mathematical models and
inputs similar to those used for calculating theoretical option prices.”
(Col. 20, ll. 23-26).
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3. Marynowski discloses that “buy and sell spreads may be used to
calculate option transaction prices such as theoretical buy and sell
prices.” (Col. 10, ll. 4-6).
4. Marynowski discloses an option price model table listing plural models
usable with its system. (Col. 11, ll. 46-63).

ANALYSIS
Claims 1, 2, 7, 8, 10-24, 29, 30, and 32-44
Initially, we note that the Appellant argues independent claims 1 and
23 together as a group. (App. Br. 8). Correspondingly, we select
representative claim 1 to decide the appeal of these claims, with remaining
claim 23 standing or falling with claim 1. Appellant does not provide a
substantive argument as to the separate patentability of claims 2, 7, 8, 10-24,
29, 30, and 32-44 (App. Br. 21) that depend from claims 1 and 23, so these
claims also stand or fall with claim 1. See 37 C.F.R. § 41.37(c)(1)(vii).
Appellant argues that Marynowski lacks any disclosure of:
... calculating a set of implied volatilities (which, according to
the Examiner's contention, are analogous to the market
parameter values) by applying trader-defined theoretical
volatility values (which, according to the Examiner's
contention, are analogous to the predefined criterion) to a
plurality of sets of market prices and to a respective plurality of
sets of theoretical values (which, according to the Examiner's
contention, are analogous to the sets of model prices), wherein
each of the sets of market prices includes one or more market
prices corresponding to a respective one of the plurality of
traded financial instruments, and wherein each of the sets of
theoretical values (which, according to the Examiner's
contention, are analogous to the sets of model prices) includes
one or more model prices calculated by a pricing model based
on the trade information corresponding to a respective one of
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the plurality of financial instruments; and estimating a price of
a financial instrument using the pricing model based on the set
of calculated implied volatilities (which, according to the
Examiner's contention, are analogous to the market parameter
values).
(Reply Br. 8; see also App. Br. 20).
We are not persuaded by Appellant’s argument, because we find the
Examiner set forth a prima facie case of anticipation based on Marynowski
that meets the claim requirements. (Ans. 3-4).
Specifically, we find Marynowski discloses “estimating by the
computing device a price of said financial instrument using said pricing
model based on said at least one set of market parameter values” using the
theoretical price logic 490 to produce a theoretical value for an option,
because we find the future volatilities of the underlying security are “market
parameter values.” (FF 1).
We further find Marynowski discloses “determining by the computing
device at least one set of market parameter values based on a predefined
criterion applied to a plurality of sets of said market prices and to a
respective plurality of sets of model prices” by deciding whether the option
can be exercised before the expiration date and whether the option is a put or
call (FF 1), by using as input the current market price of the underlying
security (FF 1), and by using model prices to calculate implied volatilities.
(FF 2).
Thus, even though the exact wording of Appellants’ claims are not
found in the prior art, the claims remain anticipated by the subject matter
disclosed therein. Anticipation “is not an ‘ipsissimis verbis’ test.” In re
Bond, 910 F.2d 831, 832-33 (Fed. Cir. 1990) (citing Akzo N.V. v. U. S. Int'l
Trade Comm'n, 808 F.2d 1471, 1479 n.11 (Fed. Cir. 1986)). “An
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anticipatory reference … need not duplicate word for word what is in the
claims.” Standard Havens Prods., Inc., v. Gencor Indus., Inc., 953 F.2d
1360, 1369 (Fed. Cir. 1991). For these reasons, we affirm the rejection of
claims 1, 2, 7, 8, 10-24, 29, 30, and 32-44 under 35 U.S.C. § 102(e).
Claims 3 and 25
Dependent claims 3 and 25 recite “wherein determining said set of
market parameter values comprises determining a plurality of difference
values corresponding to the plurality of sets of market prices and to the
plurality of sets of model prices.”
Appellant argues the cited portions of Marynowski “merely describes
determining an option transaction price based on a buy spread and a sell
spread selected by a trader.” (Reply Br. 10).
We are not persuaded by Appellant’s argument, because Marynowski
discloses using buy and sell spreads to determine a theoretical option price.
(FF 3). This meets the claim requirement because a spread is a difference
between buy and sell prices, and thus are difference values that correspond
to market and model prices. The manner or degree of correspondence is not
further narrowed.
Claims 9 and 31
Dependent claims 9 and 31 recite “wherein receiving said trade
information comprises receiving trade information of traded financial
instruments corresponding to said plurality of expiration dates.”
Appellant argues “Marynowski et al. merely describes general types
of market information.” (Reply Br. 12).
We are not persuaded by Appellant’s argument because Marynowski
discloses it takes into consideration “time until expiration” in input values
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(FF 1), which meets the claim requirement because time until expiration
corresponds to expiration dates. The manner or degree of correspondence is
not further narrowed.
Claims 4-6 and 26-28
Appellant has not argued these claims separately (App. Br. 21), so we
affirm their rejection under 35 U.S.C. § 103(a) for the same reasons as claim
1.

CONCLUSIONS OF LAW
The Examiner did not err in rejecting claims 1-3, 7-25, and 29-44
under 35 U.S.C. § 102(e).
The Examiner did not error in rejecting claims 4-6 and 26-28 under 35
U.S.C. § 103(a).

DECISION
For the above reasons, the Examiner’s rejection of claims 1-44 is
AFFIRMED.

No time period for taking any subsequent action in connection with
this appeal may be extended under 37 C.F.R. § 1.136(a)(1)(iv).

AFFIRMED

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