PREMIUM COMPUTING DEVICE OF PREMIUM OF CURRENCY OPTION, PROGRAM AND RECORDING MEDIUM

摘要

Inability of computing a premium of a currency option to be evaluated is avoided. As the option to be used in computing the premium of the currency option to be evaluated, a 25-forward delta call/put plain option having a delta using a forward rate to be 0.25 is applied in addition to an ATM plain option. Volatility ?sRR of risk reversal of the 25-delta and butterfly volatility ?sBF of the 25-delta are acquired (58,60). Volatility sC25',sP25 of 25-forward delta call/put plain option is computed (62). An exercise price KC25 of the 25-forward delta call plain option is computed using the volatility sC25, and an exercise price KP25 of the 25-forward delta put plain option is computed using the volatility sP25, respectively (68). They are used for a calculation (70) or the like of the premium for computing a compensation value Zeta.