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Except valuation method, device, equipment, medium and product

A valuation and option technology, applied in the field of financial data analysis, can solve problems such as the large deviation of interest rate data, the need to optimize the financial data processing process, and the single calculation mode, so as to achieve the effect of accurate valuation results.

Pending Publication Date: 2022-04-12
CHINA CONSTRUCTION BANK
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  • Abstract
  • Description
  • Claims
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AI Technical Summary

Problems solved by technology

When the existing financial system uses the GK model to calculate the valuation of European options, the data that needs to be determined through interpolation calculations such as interest rates are uniformly interpolated using linear interpolation. The calculation mode is relatively simple, which will lead to a low degree of data fitting. In some cases, the deviation of interest rate data is large
Situations where an optimal solution may not be found when subsequent option valuations are iteratively solved
Therefore, when using the GK model for option valuation calculations, the processing of relevant financial data needs to be optimized

Method used

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  • Except valuation method, device, equipment, medium and product
  • Except valuation method, device, equipment, medium and product
  • Except valuation method, device, equipment, medium and product

Examples

Experimental program
Comparison scheme
Effect test

Embodiment 1

[0028] figure 1 This is a flowchart of an option valuation method provided in Embodiment 1 of the present invention, and this embodiment can be applied to a scenario of option valuation based on financial market data and transaction data. The method may be executed by an option valuation apparatus, which may be implemented in software and / or hardware, and integrated into a computer device with an application development function.

[0029] like figure 1 As shown, options valuation methods include the following:

[0030] S110. Acquire business data for option valuation, where the business data includes option transaction data, market data associated with the option subject matter, preset reference data, and valuation date.

[0031] Among them, the business data is the data obtained from the trading platform or the financial business platform, and is the data related to the option business. Specifically, it includes transaction data, market data, reference data and valuation i...

Embodiment 2

[0049] figure 2 This is a flowchart of an option valuation method provided in Embodiment 2 of the present invention. The technical solution provided by this embodiment and the option valuation method provided by the above-mentioned embodiments belong to the same inventive concept, and are further described in the option subject matter. For the option valuation process in foreign exchange, and optimize the calculation scheme of implied volatility. The method may be executed by an option valuation apparatus, which may be implemented in software and / or hardware, and integrated into a computer device with an application development function.

[0050] like figure 2 As shown, the option valuation method includes the following steps:

[0051] S210. Acquire business data for foreign exchange option valuation, where the business data includes option transaction data, market data associated with the option subject matter, preset reference data, and valuation date.

[0052] Among th...

Embodiment 3

[0071] image 3This is a schematic structural diagram of the option valuation device provided in the third embodiment of the present invention. This embodiment is applicable to the scenario of option valuation based on financial market data and transaction data. The device can be implemented by software and / or hardware. Integrate into computer equipment with application development function.

[0072] like image 3 As shown, the option valuation device includes: a data acquisition module 310 , a valuation day data calculation module 320 , a date and implied volatility calculation module 330 and a valuation determination module 340 .

[0073] The data acquisition module 310 is used for acquiring business data for option valuation, the business data includes option transaction data, market data associated with the option subject matter, preset reference data and valuation date; valuation date data The calculation module 320 is configured to identify the calculation attribute of...

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Abstract

The embodiment of the invention relates to the field of financial data analysis, and discloses an option valuation method, device and equipment, a medium and a product, and the method comprises the steps: obtaining business data for option valuation; performing interpolation calculation on each business data curve according to an interpolation calculation strategy corresponding to the calculation attribute of each business data curve needing to be fitted in the market data so as to obtain corresponding data of each business data curve on an estimation date; calculating the annual time and the implicit fluctuation ratio; and determining an option valuation result according to the corresponding data, the annual time and the implicit volatility of each business data curve on the valuation date and preset data items in the market data. According to the technical scheme of the embodiment, the problems of simple business data processing and insufficient calculation accuracy during option valuation are solved, a proper data processing method is selected according to financial data features needing to be processed, more accurate data are obtained to calculate the option valuation, and thus a more accurate valuation result can be obtained.

Description

technical field [0001] Embodiments of the present invention relate to the technical field of financial data analysis, and in particular, to an option valuation method, device, device, medium and product. Background technique [0002] The European option valuation model adopts the Garman and Kohlhagen model (GK model) commonly used in the financial industry. When the existing financial system uses the GK model to calculate the valuation of European options, the data that needs to be determined by interpolation calculation, such as interest rates, are uniformly obtained by linear interpolation. In some cases, there is a large deviation in the obtained interest rate data. A situation where the optimal solution may not be found during the iterative solution of subsequent option valuations. Therefore, when using the GK model for option valuation calculations, the processing of relevant financial data needs to be optimized. SUMMARY OF THE INVENTION [0003] The embodiments of...

Claims

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Application Information

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Patent Type & Authority Applications(China)
IPC IPC(8): G06Q40/04G06F17/18
Inventor 胡安东陈伟煌林天成吴榕鹏何欣莹曾文凤
Owner CHINA CONSTRUCTION BANK
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