A numerical calculation device calculates a value of any one of an option premium or an option risk indicator or both related to a barrier option. The numerical calculation device includes a magnitude relation judging unit that judges a magnitude relation between a value of a volatility used for a calculation of the option risk indicator and a threshold value of the volatility at which it is predicted in advance that an overflow occurs, and a calculation executing unit that executes, when it is judged that the value of the volatility is equal to or larger than the threshold value, the calculation of the option risk indicator using a specific approximation formula and calculation procedure.