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SigmaFit¿
SigmaFit™ ©
YM 2002 The Stochastic Volatility Option Fitter and Calculator
SigmaFit is based on Dr. Y. Maghsoodi’s (Scinance
Analytics) closed-form solutions (YM_SV)
of Stochastic Volatility Option Problems.
Contrary to the assumption of most Option Pricing models, real
Market volatilities are
Stochastic. SigmaFit Captures the underlying’s
Stochastic Volatility (SV) dynamics
into an advanced SV (Futures) Option model (YM_SV) by fitting the Model
to up to
50 Market option prices within minutes. It can then use the fitted models to price
other user
required options, their Greeks and Implied Volatilities (IV) within seconds.
The result is up to an astounding %3700 improvement in pricing accuracy, with IV curve
matching Market (e.g. FTSE 100) as closely as within its %0.42. SigmaFit
can use the day`s
fitted YM_SV model to forecast the next day`s Market option prices by up to %890 more
closely than Black-Scholes or Black-76 Model (also fitted) with IV curve accuracy of %0.97.
These and other real empirical evidence are included as real examples
that the users can
run and see for themselves.
SigmaFit is simple to use, just make 2 simple 1 and
2-column Strike and (Market) Option Price
text files, fill in a simple GUI form and click Fit. Help on
entering each parameter is displayed
automatically. Readme file and examples provide additional help.
All files amount to 0.6 MB. An
Interface displays all fitted and computed prices, their
Greeks and IVs within EXCEL
with a click of a button.
SigmaFit is as an indispensable tool for Investors,
Traders, Finance Professionals and
Researchers with wide applications, e.g. in Investments,
(Arbitrage) Trading, Portfolio
Insurance, Risk Management, Hedging and VAR.
The above price is for a one year Multi-user license for use by
unlimited number of users on
one designated machine, excluding simultaneous or remote use e.g. via a network or web
access. Annual license renewal fee for each subsequent year is $145.00.
Further details about SigmaFit including detailed
features, numerical results and charts can be
found at the Author`s site:
www.ScinanceAnalytics.com.
Click here to download FREE 30 DAYS
TRIAL demo version of SigmaFit
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| « read more about SigmaFit 1.1 |
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