Advanced Search
MyIDEAS: Login

Digital Security Tokens and Their Derivatives

Contents:

Author Info

  • Kanta Matsuura
Registered author(s):

    Abstract

    Applied cryptography and network security could bring a new commerce architecture for valuable but uncertain digital objects in an open network. This paper models the digital objects as security token, which is abbreviated into a word coinage setok. Each setok has its price, values, and timestamp on it as well as the main contents. Not only the price but also the values can be uncertain and may cause risks. A number of properties of the setok are defined. They include value response to compromise, price response to compromise, refundability, tradability, online divisibility, and offline divisibility. Then, in search of risk-hedging tools, a derivative written not on the price but on the value is introduced. The derivative investigated is a simple European call option. Based on the common no-arbitrage condition, several option-pricing formulae are derived in discrete-time and continuous-time models. These formulae do not require any divisibility of the underlying setok. With respect to applications, an inverse estimation of compromise probability is studied. Assuming a systematic risk of compromise, the no-arbitrage theory gives a partial differential equation (PDE) to price the call option; given a set of parameters including the compromise probability, the PDE can tell us the option price. By making an inverse use of this, we are able to estimate the risk of compromise.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2001 with number 51.

    as in new window
    Length:
    Date of creation: 01 Apr 2001
    Date of revision:
    Handle: RePEc:sce:scecf1:51

    Contact details of provider:
    Email:
    Web page: http://www.econometricsociety.org/conference/SCE2001/SCE2001.html
    More information through EDIRC

    Related research

    Keywords: network pricing; uncertainty; option theory;

    Find related papers by JEL classification:

    This paper has been announced in the following NEP Reports:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:sce:scecf1:51. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.