DEALING SUPPORTING METHOD, DEALING TERMINAL, AND DEALING SUPPORTING PROGRAM

DEALING SUPPORTING METHOD, DEALING TERMINAL, AND DEALING SUPPORTING PROGRAM

PROBLEM TO BE SOLVED: To provide a dealing terminal that presents a volatility function with which volatility can be evaluated at an arbitrary invoking price following implied volatility that the market represent in a period up to expiration. SOLUTION: A computer is used to find the volatility funct...

Ausführliche Beschreibung

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Bibliographische Detailangaben
Hauptverfasser: UENOHARA YUJI, KAWASHIMA MASATOSHI
Format: Patent
Sprache:eng
Schlagworte:
CALCULATING
COMPUTING
COUNTING
DATA PROCESSING SYSTEMS OR METHODS, SPECIALLY ADAPTED FORADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORYOR FORECASTING PURPOSES
ELECTRIC DIGITAL DATA PROCESSING
PHYSICS
SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE,COMMERCIAL, FINANCIAL, MANAGERIAL, SUPERVISORY OR FORECASTINGPURPOSES, NOT OTHERWISE PROVIDED FOR
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Beschreibung
Zusammenfassung:PROBLEM TO BE SOLVED: To provide a dealing terminal that presents a volatility function with which volatility can be evaluated at an arbitrary invoking price following implied volatility that the market represent in a period up to expiration. SOLUTION: A computer is used to find the volatility function with prices obtained by converting the arbitrary invoking price evaluated by an option price evaluating engine 103 of a financial Boltzmann model and an option logical price as to an arbitrary period up to expiration into volatility by the Black-Scholes method, and the smile and period structure of the volatility are represented. COPYRIGHT: (C)2004,JPO