Power option pricing apparatus and method based on Heston's stochastic volatility model, and recording medium and microprocessor used thereto

摘要

A power option price decision device, a recording medium and a microprocessor for calculating proper price of the power option through a closed form solution are provided to reduce a computing time and a computing power for determining power option price. A data collecting unit(110) collects data indicating the value of price decision variables and data indicating parameters used in a Heston stochastic volatility model from data source. The collected price setting variables and parameters are substituted for a power option price decision formula based on the Heston probability fluctuation model. A price decision unit(120) determines the cost of the power option.