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Title:
BOLTZMANN MODEL CALCULATION ENGINE FOR OPTION PRICE, BOLTZMANN MODEL CALCULATION ENGINE FOR PREMIUM, DEALING SYSTEM, DEALING PROGRAM, PREMIUM ESTIMATION SYSTEM AND PREMIUM ESTIMATION PROGRAM
Document Type and Number:
Japanese Patent JP2004133491
Kind Code:
A
Abstract:

To provide a dealing system capable of deciding option price wherein a portfolio formed by combining a plurality of assets hardly having transaction result data in a usable market is underlying assets.

This dealing system has a Boltzmann calculation engine 103 for the option price, and a dealing terminal 105 displaying a calculation result of the Boltzmann calculation engine for the option price. By the Boltzmann calculation engine for the option price, a boltzmann model is solved by a Monte Carlo method, price fluctuation paths of the plurality of assets are generated, the price of the option of the portfolio depending on the price of the plurality of assets is calculated, and the calculated option price is displayed on the terminal.


Inventors:
TAKEZAWA NOBUHISA
UENOHARA YUJI
MURAKAMI YOSHIKI
KAWASHIMA MASATOSHI
SAKAGAMI MASAHIRO
ISHIKAWA YUKIHIRO
Application Number:
JP2002252069A
Publication Date:
April 30, 2004
Filing Date:
August 29, 2002
Export Citation:
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Assignee:
TOSHIBA CORP
TOSHIBA SOLUTIONS CORP
International Classes:
G06Q90/00; G06F17/10; G06F17/18; G06F19/00; G06Q40/00; G06Q40/02; G06Q40/04; G06Q40/06; G06Q40/08; G06Q50/00; (IPC1-7): G06F17/60; G06F17/10; G06F17/18; G06F19/00
Domestic Patent References:
JPH10228462A1998-08-25
JP2002032564A2002-01-31
JP2001325431A2001-11-22
JP2002183449A2002-06-28
Attorney, Agent or Firm:
Hidekazu Miyoshi
Yasuo Miyoshi
Iwa Saki Kokuni
Kawamata Sumio
Nakamura Tomoyuki
Masakazu Ito
Shunichi Takahashi
Toshio Takamatsu



 
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