Security Token and Its Derivative in Discrete-Time Models
نویسنده
چکیده
Aiming at modeling uncertain digital materials in the network society, we de ne the security token, which is abbreviated into a word coinage setok. Each setok has its explicit price, explicit values, and timestamp on it as well as the main contents. The values are uncertain and may cause risks. Several important properties of the setok are de ned. Then, in order to provide risk-hedging opportunities, a derivative written not on the price but on the value is introduced. The derivative investigated is a simple Europeantype call option. We derive option-pricing formulae in a single-period model and in a multiple-period model. These formulae do not require any divisibility of the underlying setok.
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