| 摘要 |
<p><P>PROBLEM TO BE SOLVED: To construct a dealing system capable of providing exotic optionally theoretical prices significant for dealers and traders in an exotic option almost having no actual result data on trade in available markets. <P>SOLUTION: In this dealing system, Bortzmann model in an financial engineering is used for evaluating exotic optional prices to express the features of the Leptokurcity and Fat-tail of a price variation distribution by a linear Bortzmann equation so as to define a risk-neutral single probability measure. As a result, in the exotic option allowing the risk-neutral single optional price evaluation in consideration of the Leptokurcity and Fat-tail of the cost variation distribution to be performed and almost having no track record data on the trade in the available markets, the parameters of the Bortzmann model of an original asset are determined, the conformity thereof to daily earning rate is confirmed, and the basis of presentation of a price is identified so that the optional prices can be evaluated. <P>COPYRIGHT: (C)2003,JPO</p> |
