JP5596795B2 - 金融商品の価格設定の装置、方法およびシステム - Google Patents

金融商品の価格設定の装置、方法およびシステム Download PDF

Info

Publication number
JP5596795B2
JP5596795B2 JP2012546552A JP2012546552A JP5596795B2 JP 5596795 B2 JP5596795 B2 JP 5596795B2 JP 2012546552 A JP2012546552 A JP 2012546552A JP 2012546552 A JP2012546552 A JP 2012546552A JP 5596795 B2 JP5596795 B2 JP 5596795B2
Authority
JP
Japan
Prior art keywords
option
price
volatility
delta
correction
Prior art date
Legal status (The legal status is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the status listed.)
Active
Application number
JP2012546552A
Other languages
English (en)
Japanese (ja)
Other versions
JP2013516672A (ja
JP2013516672A5 (cg-RX-API-DMAC7.html
Inventor
ガーション，デイヴィッド
Current Assignee (The listed assignees may be inaccurate. Google has not performed a legal analysis and makes no representation or warranty as to the accuracy of the list.)
SuperDerivatives Inc
Original Assignee
SuperDerivatives Inc
Priority date (The priority date is an assumption and is not a legal conclusion. Google has not performed a legal analysis and makes no representation as to the accuracy of the date listed.)
Filing date
Publication date
Application filed by SuperDerivatives Inc filed Critical SuperDerivatives Inc
Publication of JP2013516672A publication Critical patent/JP2013516672A/ja
Publication of JP2013516672A5 publication Critical patent/JP2013516672A5/ja
Application granted granted Critical
Publication of JP5596795B2 publication Critical patent/JP5596795B2/ja
Active legal-status Critical Current
Anticipated expiration legal-status Critical

Links

Images

Classifications

    • G—PHYSICS
    • G06—COMPUTING OR CALCULATING; 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 OR CALCULATING; 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

Landscapes

  • Business, Economics & Management (AREA)
  • Engineering & Computer Science (AREA)
  • Accounting & Taxation (AREA)
  • Finance (AREA)
  • Development Economics (AREA)
  • Technology Law (AREA)
  • Theoretical Computer Science (AREA)
  • Strategic Management (AREA)
  • Economics (AREA)
  • Physics & Mathematics (AREA)
  • General Business, Economics & Management (AREA)
  • General Physics & Mathematics (AREA)
  • Marketing (AREA)
  • Entrepreneurship & Innovation (AREA)
  • Game Theory and Decision Science (AREA)
  • Human Resources & Organizations (AREA)
  • Operations Research (AREA)
  • Financial Or Insurance-Related Operations Such As Payment And Settlement (AREA)
  • Management, Administration, Business Operations System, And Electronic Commerce (AREA)
JP2012546552A 2010-01-04 2011-01-04 金融商品の価格設定の装置、方法およびシステム Active JP5596795B2 (ja)

Applications Claiming Priority (3)

Application Number Priority Date Filing Date Title
US29194210P 2010-01-04 2010-01-04
US61/291,942 2010-01-04
PCT/IB2011/050026 WO2011080727A2 (en) 2010-01-04 2011-01-04 Device, method and system of pricing financial instruments

Related Child Applications (1)

Application Number Title Priority Date Filing Date
JP2014161429A Division JP2014222543A (ja) 2010-01-04 2014-08-07 金融商品の価格設定の装置、方法およびシステム

Publications (3)

Publication Number Publication Date
JP2013516672A JP2013516672A (ja) 2013-05-13
JP2013516672A5 JP2013516672A5 (cg-RX-API-DMAC7.html) 2014-02-20
JP5596795B2 true JP5596795B2 (ja) 2014-09-24

Family

ID=44225309

Family Applications (2)

Application Number Title Priority Date Filing Date
JP2012546552A Active JP5596795B2 (ja) 2010-01-04 2011-01-04 金融商品の価格設定の装置、方法およびシステム
JP2014161429A Pending JP2014222543A (ja) 2010-01-04 2014-08-07 金融商品の価格設定の装置、方法およびシステム

Family Applications After (1)

Application Number Title Priority Date Filing Date
JP2014161429A Pending JP2014222543A (ja) 2010-01-04 2014-08-07 金融商品の価格設定の装置、方法およびシステム

Country Status (8)

Country Link
US (4) US8626630B2 (cg-RX-API-DMAC7.html)
EP (1) EP2522000A4 (cg-RX-API-DMAC7.html)
JP (2) JP5596795B2 (cg-RX-API-DMAC7.html)
AU (1) AU2011203381A1 (cg-RX-API-DMAC7.html)
CA (1) CA2786175C (cg-RX-API-DMAC7.html)
IL (1) IL220774A0 (cg-RX-API-DMAC7.html)
SG (1) SG182306A1 (cg-RX-API-DMAC7.html)
WO (1) WO2011080727A2 (cg-RX-API-DMAC7.html)

Families Citing this family (14)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
SG10201508393WA (en) * 2010-10-10 2015-11-27 Super Derivatives Inc Device, method and system of testing financial derivative instruments
US20140201049A1 (en) * 2013-01-11 2014-07-17 OptionsCity Software, Inc. Edge determination device
US10282783B2 (en) 2013-03-13 2019-05-07 Intercontinental Exchange Holdings, Inc. System and method for processing a trade order
US20150012462A1 (en) * 2013-06-20 2015-01-08 Chicago Mercantile Exchange Inc. Blending Methodology for Settling Swaption Volatility Cube and Prices
TWI587234B (zh) * 2014-01-28 2017-06-11 國立中山大學 美式上限失效障礙型賣權的靜態避險方法、使用該方法之電子設備及電腦可讀取的紀錄媒體
TWI564833B (zh) * 2014-01-28 2017-01-01 國立中山大學 美式下限失效障礙型賣權的靜態避險方法、使用該方法之電子設備及電腦可讀取的紀錄媒體
TWI502534B (zh) * 2014-01-28 2015-10-01 Univ Nat Sun Yat Sen 美式下限失效障礙型買權的靜態避險方法、使用該方法之電子設備及電腦可讀取的紀錄媒體
US20150379633A1 (en) * 2014-06-27 2015-12-31 Chicago Mercantile Exchange Inc. Implied Volatility Futures Product
US11216874B2 (en) * 2017-03-09 2022-01-04 Jpmorgan Chase Bank, N.A. Method and system for aggregating foreign exchange measures
RU178757U1 (ru) * 2017-04-26 2018-04-18 Алексей Борисович Ситкин Устройство для расчета цены
CN110363664A (zh) * 2019-07-23 2019-10-22 上海金融期货信息技术有限公司 一种期权波动率自动拟合方法和系统
CN110400199A (zh) * 2019-07-26 2019-11-01 中国工商银行股份有限公司 交易处理方法、交易处理装置、电子设备和介质
JP7699356B2 (ja) * 2021-09-22 2025-06-27 株式会社メルカリ システム、情報処理方法及びプログラム
US20250069140A1 (en) * 2023-03-27 2025-02-27 OptionColors, Inc. Systems and methods for transforming option attributes for risk analysis, directional forecasting, and generating personalized trade ideas

Family Cites Families (31)

* Cited by examiner, † Cited by third party
Publication number Priority date Publication date Assignee Title
US3933305A (en) 1974-08-23 1976-01-20 John Michael Murphy Asset value calculators
JPH0350687A (ja) 1989-07-19 1991-03-05 Hitachi Ltd 複合曲面体の図形処理法
US5806050A (en) 1992-02-03 1998-09-08 Ebs Dealing Resources, Inc. Electronic transaction terminal for vocalization of transactional data
JP3328991B2 (ja) 1993-04-16 2002-09-30 富士通株式会社 電子取引システム
WO1995027945A1 (en) 1994-04-06 1995-10-19 Morgan Stanley Group Inc. Data processing system and method for financial debt instruments
US5884286A (en) 1994-07-29 1999-03-16 Daughtery, Iii; Vergil L. Apparatus and process for executing an expirationless option transaction
US6263321B1 (en) * 1994-07-29 2001-07-17 Economic Inventions, Llc Apparatus and process for calculating an option
US5557517A (en) 1994-07-29 1996-09-17 Daughterty, Iii; Vergil L. System and method for determining the price of an expirationless American option and issuing a buy or sell ticket on the current price and portfolio
US6178406B1 (en) 1995-08-25 2001-01-23 General Electric Company Method for estimating the value of real property
US5986170A (en) 1995-11-13 1999-11-16 Corixa Corporation Murine model for human carcinoma
US6061662A (en) 1997-08-15 2000-05-09 Options Technology Company, Inc. Simulation method and system for the valuation of derivative financial instruments
US6016483A (en) 1996-09-20 2000-01-18 Optimark Technologies, Inc. Method and apparatus for automated opening of options exchange
US5873071A (en) 1997-05-15 1999-02-16 Itg Inc. Computer method and system for intermediated exchange of commodities
US6161096A (en) 1998-10-22 2000-12-12 Bell; Lawrence L. Method and apparatus for modeling and executing deferred award instrument plan
US6839686B1 (en) 1999-03-29 2005-01-04 Dlj Long Term Investment Corporation Method and system for providing financial information and evaluating securities of a financial debt instrument
US6912511B1 (en) 1999-08-19 2005-06-28 David A. Eliezer Method of monitoring market liquidity
US6709330B1 (en) 1999-08-20 2004-03-23 Ameritrade Holding Corporation Stock simulation engine for an options trading game
JP2002032564A (ja) * 2000-07-19 2002-01-31 Toshiba Corp ディーリングシステム及び記録媒体
US6546375B1 (en) 1999-09-21 2003-04-08 Johns Hopkins University Apparatus and method of pricing financial derivatives
US7181424B1 (en) 1999-09-23 2007-02-20 The Nasdaq Stock Market, Inc. Montage for automated market system
US7251629B1 (en) 1999-10-14 2007-07-31 Edge Capture, Llc Automated trading system in an electronic trading exchange
US7315838B2 (en) 2000-04-13 2008-01-01 Superderivatives, Inc. Method and system for pricing options
US7212997B1 (en) 2000-06-09 2007-05-01 Ari Pine System and method for analyzing financial market data
US7177833B1 (en) 2000-07-18 2007-02-13 Edge Capture, Llc Automated trading system in an electronic trading exchange
JP2002230304A (ja) * 2000-12-01 2002-08-16 Bank Of Tokyo-Mitsubishi Ltd 通貨オプションのプレミアム計算方法、通貨オプションのプレミアム計算システム、通貨オプションのプレミアムをコンピュータに計算させるためのプログラム、このプログラムを記録した記録媒体
US7720744B2 (en) 2000-12-07 2010-05-18 Bgc Partners, Inc. Systems and methods for shifting bids and offers in a trading interface
IL161353A0 (en) * 2001-10-13 2004-09-27 Superderivatives Inc Method and system for pricing financial derivatives
JP2004013334A (ja) * 2002-06-04 2004-01-15 Toshiba Corp ディーリング支援方法、ディーリング端末及びディーリング支援プログラム
JP2008505409A (ja) 2004-06-29 2008-02-21 カーティン ユニバーシティ オブ テクノロジー 非標準型オプションを価格付ける方法及びシステム
AU2006233932A1 (en) * 2005-04-11 2006-10-19 Superderivatives Inc Method and system of pricing financial instruments
JP2009003958A (ja) * 2008-08-20 2009-01-08 Superderivatives Inc 金融デリバティブの価格決定のための方法とシステム

Also Published As

Publication number Publication date
EP2522000A2 (en) 2012-11-14
JP2014222543A (ja) 2014-11-27
US8626630B2 (en) 2014-01-07
JP2013516672A (ja) 2013-05-13
IL220774A0 (en) 2012-08-30
US20110167023A1 (en) 2011-07-07
CA2786175A1 (en) 2011-07-07
US20130103613A1 (en) 2013-04-25
WO2011080727A3 (en) 2011-08-25
US20160335720A1 (en) 2016-11-17
SG182306A1 (en) 2012-08-30
EP2522000A4 (en) 2013-08-14
US8620792B2 (en) 2013-12-31
WO2011080727A2 (en) 2011-07-07
CA2786175C (en) 2022-08-23
US20140172670A1 (en) 2014-06-19
AU2011203381A1 (en) 2012-08-16

Similar Documents

Publication Publication Date Title
JP5596795B2 (ja) 金融商品の価格設定の装置、方法およびシステム
KR101380468B1 (ko) 금융 상품 가격 결정 시스템 및 방법
AU2002212568B2 (en) Method and system for pricing financial derivatives
US20080005016A1 (en) Methods and media for presenting costs associated with rate protection on a mortgage
AU2002212568A1 (en) Method and system for pricing financial derivatives
WO2008033869A2 (en) The ratio index
Pallavicini et al. Interest-rate modeling with multiple yield curves
JP2009003958A (ja) 金融デリバティブの価格決定のための方法とシステム
JP2012123830A (ja) 金融デリバティブの価格決定のための方法とシステム
Gestel Potential Future Exposure Modelling For The Carbon Market
Imeraj Trading bitcoin options
Lhabitant Model Risk and Financial Derivatives
Larsson et al. What Drives the Difference in Probability of Default from Reduced Form-and Structural Approaches
Peng Portfolio credit risk modelling and CDO pricing: analytics and implied trees from CDO tranches
AU2012203971A1 (en) Method and system of pricing financial instruments

Legal Events

Date Code Title Description
A521 Request for written amendment filed

Free format text: JAPANESE INTERMEDIATE CODE: A523

Effective date: 20131227

A621 Written request for application examination

Free format text: JAPANESE INTERMEDIATE CODE: A621

Effective date: 20131227

A871 Explanation of circumstances concerning accelerated examination

Free format text: JAPANESE INTERMEDIATE CODE: A871

Effective date: 20140108

A131 Notification of reasons for refusal

Free format text: JAPANESE INTERMEDIATE CODE: A131

Effective date: 20140204

A975 Report on accelerated examination

Free format text: JAPANESE INTERMEDIATE CODE: A971005

Effective date: 20140130

A521 Request for written amendment filed

Free format text: JAPANESE INTERMEDIATE CODE: A523

Effective date: 20140502

TRDD Decision of grant or rejection written
A01 Written decision to grant a patent or to grant a registration (utility model)

Free format text: JAPANESE INTERMEDIATE CODE: A01

Effective date: 20140708

A61 First payment of annual fees (during grant procedure)

Free format text: JAPANESE INTERMEDIATE CODE: A61

Effective date: 20140807

R150 Certificate of patent or registration of utility model

Ref document number: 5596795

Country of ref document: JP

Free format text: JAPANESE INTERMEDIATE CODE: R150

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250

R250 Receipt of annual fees

Free format text: JAPANESE INTERMEDIATE CODE: R250