DEVICE FOR DETERMINING ECONOMIC VARIABLE VALUE RELATED TO OPTION PREMIUM EVALUATION, DEVICE FOR DETERMINING OPTION PARAMETER HAVING THE SAID DEVICE, METHOD FOR DETERMINING ECONOMIC VARIABLE VALUE RELATED TO OPTION PREMIUM EVALUATION, PROGRAM, AND RECORDING MEDIUM

摘要

PROBLEM TO BE SOLVED: To facilitate the determination of the use value of the spot rate of a currency option premium.

SOLUTION: A device for determining economic variable values related to an option premium evaluation is provided with an option premium derivative recording part 10 which records a currency option premium derivative f'(x) obtained by the partial differentiation of a currency option premium f(x) by the spot rate; a sign determining part 14 which reads out the f'(x) from the option premium derivative recording part 10, and determines the positive or negative sign of a value f'(m) obtained by substituting a middle value m (mean of a bid rate and an offer rate) of the spot rate for the f'(x); and a side determining part 16 which, on the basis of information on which of the selling side or the buying side of currency option is taken and a determination result from the sign determining part 14, determines the use value (which of the bid side and the offer side is used for determining the currency option premium) of the spot rate.

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