Premium Computation Device for Currency Option, Program, and Storage Medium

摘要

As options used to compute a premium of a currency option to be evaluated, forward delta call/put plain options based on a forward rate are applied in addition to an ATM plain option, volatilities of the forward delta call/put plain options are computed, and an exercise price of the forward delta call plain option is computed using the volatility and an exercise price of the forward delta put plain option is computed using the volatility, thereby using the computed results for a computation of a premium for computing a correction value.