PRICE RISK EVALUATION SYSTEM FOR FINANCIAL COMMODITIES OR ITS DERIVATIVES, AND STORAGE MEDIUM

摘要

PROBLEM TO BE SOLVED: To provide a system which can correctly evaluate the price distribution or risk distribution of financial commodities or derivatives by introducing a probability density function which has higher precision than a normal distribution. SOLUTION: This evaluation system is equipped with an initial value input means 3 which inputs initial values of price, price variation rate, and price varying direction, an evaluation condition input means 4, a Boltzmann model analyzing means 5 which inputs the initial values of price, price variation rate, and price varying direction of a financial commodity, etc., from the initial value input means 3, inputs the evaluation condition from the evaluation condition input means 4, and performs a price variation simulation by a Boltzmann model by a Monte Carlo method to find the risk distribution, a speed distribution and direction distribution input means 8 which inputs the probability distributions of price variation rates and price variation directions of financial articles to be evaluated to the analyzing means 5, a random number generating means 9, and an output means 6.