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 or risk distribution of a financial product or its financial derivative by introducing a probability density function with higher precision than that of a normal distribution and a dealing system to which the evaluating system is applied are disclosed. The price risk evaluating system comprises an initial value input unit (3), an evaluation condition input unit (4), an input unit (8) for inputting the speed and direction distributions of an evaluation object, a Bolzmann model analyzing unit (5) for determining a price or risk distribution by repeating price fluctuation simulation for a financial product being an evaluation object using a Bolzmann model by the Monte Carlo method under the evaluation conditions, a random number generating unit (9), and an output unit (6). The dealing system (100) applies a Bolzmann model (103) in financial engineering to an option price evaluating method and enables unique option price evaluation neutral in risk in consideration of the leptokurcity and fat-tail of price fluctuation distribution.