Title:
DEVICE, METHOD AND SYSTEM FOR SETTING PRICE OF FINANCIAL PRODUCT
Document Type and Number:
Japanese Patent JP2014222543
Kind Code:
A
Abstract:
PROBLEM TO BE SOLVED: To provide a method, a device, and a system for setting a price of a financial product.SOLUTION: A price setting module receives first input data corresponding to a parameter for determining a first option to an underlying asset, and second input data corresponding to a current market trend related to the underlying asset, determines a price of the first option according to a volatility smile satisfying a first standard regarding the total of first correction corresponding to the first option, and second correction corresponding to a second option representing the opposite position of that of the first option, and having substantially the same absolute delta value as that of the first option on the basis of the first input data and the second input data, the first correction relates to difference between a theoretical price of the first option and the price of the first option by the volatility smile, and the second correction relates to difference between a theoretical price of the second option and a price of the second option by the volatility smile.
Inventors:
DAVID GERSHON
Application Number:
JP2014161429A
Publication Date:
November 27, 2014
Filing Date:
August 07, 2014
Export Citation:
Assignee:
SUPERDERIVATIVES INC
International Classes:
G06Q40/04
Domestic Patent References:
| JP2009003958A | 2009-01-08 | |||
| JP2002230304A | 2002-08-16 | |||
| JP2004013334A | 2004-01-15 | |||
| JP2002032564A | 2002-01-31 |
Foreign References:
| US20050027634A1 | 2005-02-03 |
Attorney, Agent or Firm:
Ryoichi Takaoka
Oda Direct
Oda Direct
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