Numerical calculation device, numerical calculation method, and computer product
AssigneesFujitsu Limited, The Bank of Tokyo-Mitsubishi Ufj, Ltd.
InventorTakayuki Nakayama
Life of this patent
Estimating the term…
Abstract
A numerical calculation device calculates a value of any one of an option premium or an option risk indicator or both related to a barrier option. The numerical calculation device includes a magnitude relation judging unit that judges a magnitude relation between a value of a volatility used for a calculation of the option risk indicator and a threshold value of the volatility at which it is predicted in advance that an overflow occurs, and a calculation executing unit that executes, when it is judged that the value of the volatility is equal to or larger than the threshold value, the calculation of the option risk indicator using a specific approximation formula and calculation procedure.
Claims9
A numerical calculation device that calculates a value of any one of an option premium and an option risk indicator or both related to a barrier option, the numerical calculation device comprising:
- a magnitude relation judging unit that judges a magnitude relation between a value of a volatility used for the calculation of any one of the option premium and the option risk indicator or both related to the barrier option and a predetermined value;
- and
- a calculation executing unit that executes, when it is judged by the magnitude relation judging unit that the value of the volatility is larger than or the same as the predetermined value, a calculation of the value of any one of the option premium and the option risk indicator or both related to the barrier option.
A computer-readable recording medium that stores therein a computer program that causes a computer to implement a numerical calculation method of calculating a value of any one of an option premium and an option risk indicator or both related to a barrier option, the computer program causing the computer to execute:
- judging a magnitude relation between a value of a volatility used for the calculation of any one of the option premium and the option risk indicator or both related to the barrier option and a predetermined value;
- and
- executing, when it is judged by the magnitude relation judging unit that the value of the volatility is larger than or the same as the predetermined value, a calculation of the value of any one of the option premium and the option risk indicator or both related to the barrier option.
A numerical calculation method of calculating a value of any one of an option premium and an option risk indicator or both related to a barrier option, the numerical calculation method comprising:
- judging a magnitude relation between a value of a volatility used for the calculation of any one of the option premium and the option risk indicator or both related to the barrier option and a predetermined value;
- and
- executing, when it is judged by the magnitude relation judging unit that the value of the volatility is larger than or the same as the predetermined value, a calculation of the value of any one of the option premium and the option risk indicator or both related to the barrier option.
Dependencies are inferred from the claim text.