作者: Mikhail Anatolievich Rogov
DOI:
关键词: Actuarial science 、 Reservation price 、 Basis risk 、 Economics 、 Forward price 、 Put–call parity 、 Moneyness 、 Forward contract 、 Strike price 、 Risk-neutral measure 、 Econometrics
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.