- K. Matsuura. ``A Derivative of Digital Objects and Estimation of Default Risks in Electronic Commerce''. Proc. of Third International Conference on Information and Communications Security (ICICS'01), Lecture Notes in Computer Science 2229, Springer-Verlag, pp. 90-94, Nov. 2001. (Full text (PDF))
- (Abstract) In electronic commerce, traded digital objects are likely associated with several numerical values as well as their prices. These values may change unpredictably over time and bring risks both to the providers and to the consumers of the application. One possible strategy for hedging the risks is to introduce derivatives regarding the uncertain values. This paper shows a theoretical pricing equation of the derivatives when the underlying digital objects have systematic default or revocation risks. We can make use of this pricing to estimate the risks.
- (Keywords) electronic commerce, risk hedge, option pricing, revocation risk
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