SYSTEM AND METHOD FOR RISK HEDGING AT ASSET ACQUISITION

摘要

PROBLEM TO BE SOLVED: To provide a system for risk hedging at asset acquisition that can provide a risk hedge for various asset purchases and can benefit not only an asset purchaser but also a distribution institution, a financial institution and the like.;SOLUTION: The system for risk hedging at asset acquisition using a real option comprises computing means 11 for computing a strike price of an underlying asset at the exercise of a put option by a real option and a valid period of exercise from input data on the underlying asset including price fluctuation, estimating means 12 for creating and updating in real time a parameter estimation model of the underlying asset including price fluctuation from input market data on the underlying asset, and extracting means 13 for extracting a set of typical parameter values from the parameter estimation model. An option premium and expiration date for the underlying asset are decided according to the extracted parameter values.;COPYRIGHT: (C)2006,JPO&NCIPI