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Digital Security Tokens and Their Derivatives

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  • Kanta Matsuura

    (University of Tokyo, Komaba 4-6-1)

Abstract

Digital objects in network commerce cause new credit risks (e.g., by an unpredictable certificate revocation). Financial theories can be used to estimate these risks but theories firstly need models. This paper models the objects as security token (setok). Each setok has its price, values, timestamp, and contents. Not only the price but also the values can be uncertain and cause risks. In order to hedge such risks, an option written on the value is introduced and priced. The pricing can be used to estimate parameters which describe the uncertainty. Discussions include how systematic the revocation risk is.

Suggested Citation

  • Kanta Matsuura, 2003. "Digital Security Tokens and Their Derivatives," Netnomics, Springer, vol. 5(2), pages 161-179, November.
    • Handle: RePEc:kap:netnom:v:5:y:2003:i:2:d:10.1023_a:1026052902146
    DOI: 10.1023/A:1026052902146
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    References listed on IDEAS

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