公开(公告)号：US20070198387A1

公开(公告)日：2007-08-23

申请号：US11733057

申请日：2007-04-09

申请人： Yuji Uenohara ,  Ritsuo Yoshioka ,  Motohiko Onishi ,  Takahiro Tatsumi ,  Tadahiro Ohashi ,  Masatoshi Kawashima ,  Hiroaki Okuda

发明人： Yuji Uenohara ,  Ritsuo Yoshioka ,  Motohiko Onishi ,  Takahiro Tatsumi ,  Tadahiro Ohashi ,  Masatoshi Kawashima ,  Hiroaki Okuda

IPC分类号： G06Q40/00

CPC分类号： G06Q40/08 ,  G06Q40/06

摘要： A system for correctly evaluating a price distribution and a risk distribution for a financial product or its derivatives introduces a probability density function generated with a Boltzmann model at a higher accuracy than the Gaussian distribution for a probability density. The system has an initial value setup unit and an evaluation condition setup unit. Initial values include at least one of price, price change rate, and the price change direction of a financial product. The evaluation conditions include at least time steps and the number of trials. The Boltzmann model analysis unit receives the initial values and the evaluation conditions, and repeats simulations of price fluctuation, based on the Boltzmann model using a Monte Carlo method. A velocity/direction distribution setup unit supplies the probability distributions of the price, price change rate, and the price change direction for the financial product to the Boltzmann model analysis unit. A random number generator for a Monte Carlo method employed in the analysis by the Boltzmann model, and an output unit displays the analysis result. A dealing system 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.

摘要翻译： 用于正确评估金融产品或其衍生物的价格分布和风险分布的系统使用玻尔兹曼模型产生的概率密度函数以高于概率密度的高斯分布的精度引入。 系统具有初始值设定单元和评价条件设定单元。 初始值包括金融产品的价格，价格变动率和价格变动方向中的至少一个。 评估条件至少包括时间步骤和试验次数。 Boltzmann模型分析单元接收初始值和评估条件，并使用Monte Carlo方法基于Boltzmann模型重复价格波动的模拟。 速度/方向分布设置单元将金融产品的价格，价格变化率和价格变化方向的概率分布提供给玻尔兹曼模型分析单元。 用于通过玻尔兹曼模型分析的蒙特卡罗方法的随机数发生器和输出单元显示分析结果。 交易系统将金融玻尔兹曼模型应用于期权定价，并通过线性Boltzmann方程再现Leptokurcity和Fat-tail的特征，以定义风险中立和独特的概率测度。 因此，期权价格可以以风险中立和独特的方式进行评估，同时考虑到价格变动分配的Leptokurcity和Fat-tail。