NUMERICAL CALCULATION DEVICE AND NUMERICAL CALCULATION PROGRAM

摘要

A numerical calculation device (10) calculates an option premium relating to a barrier option and/or a value of option risk index. The device includes a magnitude relation judgment section (13) and a calculation execution section (14). The magnitude relation judgment section (13) judges the magnitude relation between a value of volatility v used in calculation of the option risk index and a threshold value of volatility v where generation of overflow is predicted in advance. When the value of volatility v is judged to be equal to or greater than the threshold value, the calculation execution section (14) executes calculation of the option risk by using a particular approximation equation and a calculation procedure, thereby easily and effectively suppressing generation of overflow and eliminating waste losses of calculation.