K. Matsuura. ``Security Token and Its Derivative in Discrete-Time Models''. Proc. of 5th World Multiconference on Systemics, Cybernetics and Informatics, Orlando, FL, July 2001. (Full text (PDF))

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(Abstract) Aiming at modeling uncertain digital materials in the network society, we define 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 defined. 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 European-type 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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(Keywords) Electronic Commerce, Security Token, Uncertainty, Derivative, Option Pricing, Binomial Model.

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