METHOD AND SYSTEM FOR COMPUTING PREMIUM OF CURRENCY OPTION, PROGRAM MAKING COMPUTER COMPUTE PREMIUM OF CURRENCY OPTION, AND RECORDING MEDIUM WITH PROGRAM RECORDED THEREON

METHOD AND SYSTEM FOR COMPUTING PREMIUM OF CURRENCY OPTION, PROGRAM MAKING COMPUTER COMPUTE PREMIUM OF CURRENCY OPTION, AND RECORDING MEDIUM WITH PROGRAM RECORDED THEREON

PROBLEM TO BE SOLVED: To compute the value of a premium very close to a market value as to a currency option that it has been difficult for a framework of a conventional GK model to properly evaluate the premium with. SOLUTION: Vega, Vega 2, and a vanner are computed (S102, S106) from ATM flat volat...

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Bibliographische Detailangaben
Hauptverfasser: TANAKA HISAMITSU, MIZUIDE TAMAKI
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
ELECTRIC DIGITAL DATA PROCESSING
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Zusammenfassung:PROBLEM TO BE SOLVED: To compute the value of a premium very close to a market value as to a currency option that it has been difficult for a framework of a conventional GK model to properly evaluate the premium with. SOLUTION: Vega, Vega 2, and a vanner are computed (S102, S106) from ATM flat volatility σATM as to an object option to be evaluated and three kinds of play options and a portfolio constitution rate is computed (S108) so that the Vega, Vega 2, and vanner of the portfolio obtained by combining the object option to be evaluated and the three kinds of play options match one another. As for each play option, the difference between the premium computed from σATM and the premium computed from a volatility market value is computed (S110) and the premium of the object option to be evaluated which is computed from σATM is corrected with the sum of the difference amount weighted by the constitution ratio.