| 摘要 |
PROBLEM TO BE SOLVED: To calculate the premium of a currency option subjected to evaluation.SOLUTION: As an option to be used for computing the premium of a currency option subjected to evaluation, in addition to an ATM plain option, a 25 forward delta call/put plain option of which the delta with a forward rate as a reference becomes 0.25 is applied and 25 delta risk reversal volatility &Dgr;&sgr;and 25 delta butterfly volatility &Dgr;&sgr;are acquired 58, 60. volatility &sgr;and &sgr;of 25 forward delta call/put plain option is computed 62. While using the volatility &sgr;, an exercise price Kof the 25 forward delta call plain option is computed and while using the volatility &sgr;, an exercise price Kof the 25 forward delta put plain option is computed 68 and used for computation 78 or the like of the premium for computing a correction value Zeta. |
