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Stock derivative evaluation service
Our company carries out calculation of the price of various derivatives.
- k-option
- Stock option
- Equity swap
- Equity-linked bond
Image of evaluation
The following procedures will be followed for evaluation when Monte Carlo simulation is used.
It is Monte Carlo simulation that carries out option valuation by the Brownian motion which shows transition of stock price. Stock price transition is created and option value is computed by Monte Carlo simulation.
- Creation of stock price
- Judgment of knockout, etc.
- Determination of appraised value from the mean
Creation of stock price
Judgment of knockout, etc.
Result of simulation
Cases we have handled
Provision of second opinion on derivative included in the fund that is employed by foreign-affiliated financial institution (Entrusted side: foreign-affiliated financial institution)
Provision of advice and report on evaluation of lawsuits concerning equity derivatives that are concluded with foreign-affiliated financial institutions（Plaintiff side：Jasdaq listed company)
For details of the contents and amount of evaluation, please click here to contact us.