| 摘要 |
<P>PROBLEM TO BE SOLVED: To avoid that a premium of a currency option to be evaluated is placed in an incomputable state. <P>SOLUTION: A currency option premium calculation system executes: steps (58 and 60) of, as an option used for calculation of a premium for currency option to be evaluated, applying 25 forward delta call/put plain options in which a delta based on a forward rate is 0.25 in addition to an ATM plain option, and acquiring volatility Δσ<SB POS="POST">RR</SB>of a 25 delta risk reversal and volatility Δσ<SB POS="POST">BF</SB>of a 25 delta butterfly; a step (62) of calculating volatilities σ<SB POS="POST">C25</SB>and σ<SB POS="POST">P25</SB>of the 25 forward delta call/put plain options; a step (68) of using the volatility σ<SB POS="POST">C25</SB>to calculate an exercise price K<SB POS="POST">C25</SB>of the 25 forward delta call plain option, and using the volatility σ<SB POS="POST">P25</SB>to calculate the exercise price K<SB POS="POST">P25</SB>of the 25 forward delta put plain option; and a step (70) of using the calculated exercise prices to calculate each premium for calculation of a correction value Zeta. <P>COPYRIGHT: (C)2013,JPO&INPIT |
