| 摘要 |
<P>PROBLEM TO BE SOLVED: To determine economic variables (such as spot rate, volatility) such as currency options in which the currency options, etc. satisfy predetermined conditions by a halving method. <P>SOLUTION: A solution x in which f(x) indicating the currency options (x is spot rate (spot exchange rate)) is set to 0 is determined. The solution is calculated by determining and converging a closed section [a, b] so as to satisfy f(a)×f(b)≤0. However, which of the bid side and the offer side is used as the volatility varies depending on values of (a), b and f(x) also varies according to the volatility. Thus, there is a case that f(a)×f(b)>0. Then, when f(x) varies, it is determined whether or not f(a)×f(b)≤0 is satisfied, when f(a)×f(b)≤0 is not satisfied, (a) is reduced, b is increased to satisfy f(a)×f(b)≤0 even in f(x) after variation. <P>COPYRIGHT: (C)2005,JPO&NCIPI |
