JP2004038951A - バスケットオプションの価格設定に関する予想変動率曲面をシミュレートする方法およびシステム - Google Patents

バスケットオプションの価格設定に関する予想変動率曲面をシミュレートする方法およびシステム Download PDF

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Publication number
JP2004038951A
JP2004038951A JP2003157227A JP2003157227A JP2004038951A JP 2004038951 A JP2004038951 A JP 2004038951A JP 2003157227 A JP2003157227 A JP 2003157227A JP 2003157227 A JP2003157227 A JP 2003157227A JP 2004038951 A JP2004038951 A JP 2004038951A
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Prior art keywords
volatility
basket
component
option
parameters
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Japanese (ja)
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Sid Browne
シド　ブラウン
Arthur Maghakian
アーサー　マグハキアン
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Goldman Sachs and Co LLC
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Goldman Sachs and Co LLC
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    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/08—Insurance
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/02—Banking, e.g. interest calculation or account maintenance
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/04—Trading; Exchange, e.g. stocks, commodities, derivatives or currency exchange
    • G—PHYSICS
    • G06—COMPUTING; CALCULATING OR COUNTING
    • G06Q—INFORMATION AND COMMUNICATION TECHNOLOGY [ICT] SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES; SYSTEMS OR METHODS SPECIALLY ADAPTED FOR ADMINISTRATIVE, COMMERCIAL, FINANCIAL, MANAGERIAL OR SUPERVISORY PURPOSES, NOT OTHERWISE PROVIDED FOR
    • G06Q40/00—Finance; Insurance; Tax strategies; Processing of corporate or income taxes
    • G06Q40/06—Asset management; Financial planning or analysis
JP2003157227A 2002-05-31 2003-06-02 バスケットオプションの価格設定に関する予想変動率曲面をシミュレートする方法およびシステム Pending JP2004038951A (ja)

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US10/160,469 US7440916B2 (en) 2001-06-29 2002-05-31 Method and system for simulating implied volatility surfaces for basket option pricing

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JP2004038951A true JP2004038951A (ja) 2004-02-05

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US (4) US7440916B2 (US20030074167A1-20030417-M00007.png)
EP (1) EP1369805A1 (US20030074167A1-20030417-M00007.png)
JP (1) JP2004038951A (US20030074167A1-20030417-M00007.png)
CA (1) CA2429398A1 (US20030074167A1-20030417-M00007.png)

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US7149715B2 (en) * 2001-06-29 2006-12-12 Goldman Sachs & Co. Method and system for simulating implied volatility surfaces for use in option pricing simulations
JP2007509440A (ja) * 2003-10-20 2007-04-12 イースピード， インコーポレイテッド 金融市場環境において先物契約を提供するシステム及び方法
JP2008538427A (ja) * 2005-04-11 2008-10-23 スーパーデリバティブス インク 金融商品に値段を付ける方法およびシステム
JP2013544389A (ja) * 2010-10-10 2013-12-12 スーパーデリバティブズ，インコーポレイテッド 金融派生商品をテストするデバイス、方法およびシステム

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US7937313B2 (en) * 2001-06-29 2011-05-03 Goldman Sachs & Co. Method and system for stress testing simulations of the behavior of financial instruments
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Cited By (6)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US7149715B2 (en) * 2001-06-29 2006-12-12 Goldman Sachs & Co. Method and system for simulating implied volatility surfaces for use in option pricing simulations
US7761360B1 (en) 2001-06-29 2010-07-20 Goldman Sachs & Co. Method and system for simulating implied volatility surfaces for use in option pricing simulations
JP2007509440A (ja) * 2003-10-20 2007-04-12 イースピード， インコーポレイテッド 金融市場環境において先物契約を提供するシステム及び方法
JP2008538427A (ja) * 2005-04-11 2008-10-23 スーパーデリバティブス インク 金融商品に値段を付ける方法およびシステム
JP2013084296A (ja) * 2005-04-11 2013-05-09 Super Derivatives Inc 金融商品に値段を付ける方法およびシステム
JP2013544389A (ja) * 2010-10-10 2013-12-12 スーパーデリバティブズ，インコーポレイテッド 金融派生商品をテストするデバイス、方法およびシステム

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Publication number Publication date
US20120016810A1 (en) 2012-01-19
CA2429398A1 (en) 2003-11-30
US20090012912A1 (en) 2009-01-08
US7440916B2 (en) 2008-10-21
US20120323819A1 (en) 2012-12-20
US7917419B2 (en) 2011-03-29
US8255310B2 (en) 2012-08-28
US20030074167A1 (en) 2003-04-17
EP1369805A1 (en) 2003-12-10

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