To compute the value of a premium very close to a market value as to a currency option that it has been difficult for a framework of a conventional GK model to properly evaluate the premium with.
Vega, Vega 2, and a vanner are computed (S102, S106) from ATM flat volatility σATM as to an object option to be evaluated and three kinds of play options and a portfolio constitution rate is computed (S108) so that the Vega, Vega 2, and vanner of the portfolio obtained by combining the object option to be evaluated and the three kinds of play options match one another. As for each play option, the difference between the premium computed from σATM and the premium computed from a volatility market value is computed (S110) and the premium of the object option to be evaluated which is computed from σATM is corrected with the sum of the difference amount weighted by the constitution ratio.
TANAKA HISAMITSU