SYSTEM FOR EVALUATING PRICE RISK OF FINANCIAL PRODUCT OR ITS FINANCIAL DERIVATIVE, DEALING SYSTEM, AND RECORDED MEDIUM

摘要

A system for correctly evaluating a price distribution and a risk distribution for a financial product or its derivatives is provided by introducing a probability density function generated with a Boltzmann model at a higher accuracy than the Gaussian distribution for a probability density. A dealing system applying this price evaluation technique is also provided.;The price and risk evaluation system has an initial value setup unit 3 and an evaluation condition setup unit 4. Initial values include at least one of the price, the price change rate, and the price change direction of a financial product. The evaluation conditions include at least time steps and the number of trial. The Boltzmann model analysis unit 5 receives the initial values and the evaluation conditions, and it repeats simulations of price fluctuation within the range of the specified condition, based on the Boltzmann model using a Monte Carlo method. A velocity/direction distribution setup unit 8 supplies the probability distributions of the price, the price change rate, and the price change direction for the financial product to the Boltzmann model analysis unit 5. The system also has a random number generator 9 for a Monte Carlo method employed in the analysis by the Boltzmann model, and an output unit 6 for displaying the analysis result.;A dealing system 100 applies the financial Boltzmann model to option pricing, and reproduces the characteristics of Leptokurcity and Fat-tail by linear Boltzmann equation in order to define risk-neutral and unique probability measures. Consequently, option prices can be evaluated in a risk-neutral and unique manner, taking into account Leptokurcity and Fat-tail of a price change distribution.