BOLTZMANN MODEL CALCULATION ENGINE FOR OPTION PRICE, BOLTZMANN MODEL CALCULATION ENGINE FOR PREMIUM, DEALING SYSTEM, DEALING PROGRAM, PREMIUM ESTIMATION SYSTEM AND PREMIUM ESTIMATION PROGRAM

摘要

PPROBLEM TO BE SOLVED: 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. PSOLUTION: 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. PCOPYRIGHT: (C)2004,JPO