Method for forming risk management contracts by means of a computer system

作者: Mikhail Anatolievich Rogov

DOI:

关键词: Actuarial scienceReservation priceBasis riskEconomicsForward pricePut–call parityMoneynessForward contractStrike priceRisk-neutral measureEconometrics

摘要: The invention relates to operations on options and other derivatives carried out by means of a computer system for managing risks event, operation risks, market jump discloses method formulating with respect solar geomagnetic activity or the derivative indexes thereof, including futures sunspot numbers (solar derivatives). inventive consists in receiving data given asset, type contract, strike price current lower bound change, interest without non-payment risk, dispersion asset during quotation thereof required guarantee fee therefor, defining each variable cost computation algorithm, associated together price. difference between trade contract final closing is defined said distributable sent user, user.