Title:
コンピュータ演算処理方法およびプログラム
Document Type and Number:
Japanese Patent JP4949645
Kind Code:
B2
Abstract:
There is provided a computer calculation processing method for determining risk-neutral probability distribution with the use of a model-independent maximum entropy method. There are provided an input device (101) into which arbitrarily set information is inputted, a market (102) which is the source of various market information, a calculator (103) which receives various inputs, performs the calculation processing of the present invention and issues an output instruction, an interface (104) which collects information from the market and inputs it to the calculator (103), a storage device (105) which stores the program of the present invention and various data generated during the calculation processing, and a display device (10). Output of a result of the calculation processing can be stored in the storage device (105) in addition to the display device (106), printed on a printing device or transmitted via a communication line.
Inventors:
Julian Brody
Doge Brody
Doge Brody
Application Number:
JP2005176854A
Publication Date:
June 13, 2012
Filing Date:
June 16, 2005
Export Citation:
Assignee:
Yahoo Japan Corporation
International Classes:
G06Q40/04; G06Q10/04; G06Q40/00; G06Q40/06; G06Q50/00; G06Q90/00
Domestic Patent References:
| JP2002056185A |
Other References:
DORJE C.BRODY他,"OPTION PRICE CALIBRATION FROM RENYI ENTROPY",2004年11月21日更新,[検索日 2006年8月8日],インターネット
Weiyu Guo,MAXIMUM ENTROPY IN OPTION PRICING:A CONVEX-SPLINE SMOOTHING METHOD,The Journal of Futures Markets,John Wiley & Sons,Inc,2001年 9月21日,Vol.21,No.9,819-832頁
Ramandeep S.Johal,Generalized bit moments and cumulants based on discrete derivative,PHYSICS LETTERS A,2002年 3月 4日,Vol.294,292-296頁
Weiyu Guo,MAXIMUM ENTROPY IN OPTION PRICING:A CONVEX-SPLINE SMOOTHING METHOD,The Journal of Futures Markets,John Wiley & Sons,Inc,2001年 9月21日,Vol.21,No.9,819-832頁
Ramandeep S.Johal,Generalized bit moments and cumulants based on discrete derivative,PHYSICS LETTERS A,2002年 3月 4日,Vol.294,292-296頁
Attorney, Agent or Firm:
Patent Business Corporation Tani/Abe Patent Office