Pricing Equity Derivatives

SciComp offers two solutions for pricing equity derivatives, SciFinance® and Custom Fit Pricing Models.

SciFinance

SciFinance is an automated coding technology for rapidly developing derivatives pricing and risk models. Simply select from one of hundreds of model specifications and modify as appropriate to capture the unique features of the equity derivative or to implement a preferred pricing approach. Equity derivative pricing model specifications are comprised of arbitrary partial differential equations (PDEs) or stochastic differential equations (SDEs), numerical algorithms, keywords, and may include the calling of external functions. SciFinance does the rest by automating the programming task via the SciPDE and SciMC modules to produce fully documented C/C++/CUDA pricing model source code or Excel spreadsheets and add-ins.

Custom Fit Pricing Models

SciComp Custom Fit Pricing Models meet the needs of users looking for a customized equity derivatives pricing model that has been tailored to their particular modeling needs and requirements. Custom Fit Pricing Models are state-of-the-art equity derivative pricing and risk models comparable to those found on the desks of traders and risk managers within Tier-1 financial organizations. Like SciFinance, Custom Fit Pricing Models support the modeling of any equity derivative that can be valued using PDEs or SDEs and are available as a C/C++/CUDA pricing executable, C/C++/CUDA pricing model source code or a ready-to-use Excel spreadsheet and add-in.

Equity derivative features available with SciFinance
and Custom Fit Pricing Models

Pricing models for equity derivatives

SciComp solutions support any equity model that can be expressed as a PDE or SDE and no list can be complete (partial list below).

• Local volatility models
• CEV (including time dependence)
• Stochastic volatility models
• Stochastic volatility with asset jumps (SVJ)
• Stochastic volatility with asset and volatility jumps (SVJJ)
• Universal models
• Cheyette model
• Clewlow & Stickland model
• Variance gamma, CGMY, CGMYSA, etc.
• Arbitrary user defined

Pricing model calibration

SciCalibrator is an automated coding technology for translating a pricing model calibration specification into the corresponding C/C++ source code for the calibration routine or a ready-to-use Excel spreadsheet and add-in. SciCalibrator comes with over a dozen analytical pricers for valuing the underlying calibration instruments or, if you prefer, you may use your own pricer. If no analytical pricer is available, you can generate a SciFinance PDE or SDE pricing model for use in the calibration routine.

Equity derivative calibration routines include:

• Local volatility
• CEV (including time dependence)
• Heston SV+ jumps
• CEV/SV Markovian Conditioning
• Kou double exponential jump model
• VG and CGMY models
• VGSA and CMGYSA (VG and CMGY + stochastic time change)
• User defined calibration routine

Example equity structures

Given that SciComp solutions support the modeling of any equity derivative that can be priced with a PDE or SDE, no list can be complete (partial list below).

Examples of equity derivatives:

• Vanilla options
• Asian options
• Basket options
• Barrier options
• Chooser options
• Cliquet options
• Compound options
• Contingent premium options
• Correlation options, 2-3 assets
• Digital options
• Ladder options
• Lookback options
• Power options
• Volatility options