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1. (WO2017034044) INDEX CALCULATION METHOD AND INDEX CALCULATION SYSTEM, WHICH ARE RELATED TO FINANCIAL DERIVATIVES

Pub. No.:    WO/2017/034044    International Application No.:    PCT/KR2015/008753
Publication Date: Fri Mar 03 00:59:59 CET 2017 International Filing Date: Sat Aug 22 01:59:59 CEST 2015
IPC: G06Q 40/04
G06Q 40/06
Applicants: HAN, Myung Hee
한명희
Inventors: HAN, Myung Hee
한명희
Title: INDEX CALCULATION METHOD AND INDEX CALCULATION SYSTEM, WHICH ARE RELATED TO FINANCIAL DERIVATIVES
Abstract:
A method for calculating an index of a financial derivative by using a computer, according to examples of the present invention, can comprise the steps of: simulating, a plurality of times, price fluctuations of an underlying asset from an assessment date to an expiration date with respect to a financial derivative having at least one underlying asset, an issuance date, at least one advanced redemption date, and an expiration date; obtaining a simulation result in which the financial derivative is repaid at the advanced redemption date or the expiration date according to the price fluctuations of the underlying asset; calculating each of a value of the financial derivative at the assessment date and an estimated expiration date on the basis of a plurality of simulation results; selecting a plurality of financial derivatives of which the calculated estimated expiration date belongs to a specific expiration interval; and calculating a financial derivative index for each expiration interval at the assessment date by multiplying a value, which is obtained by dividing an assessment date-expiration interval summed value by a previous assessment date-expiration interval summed value, by a financial derivative index for each expiration interval at a previous assessment date with respect to the plurality of financial derivatives selected in the specific expiration interval.