Energy Derivatives Pricing Models

One size does not fit all. SciComp: Providing cutting-edge energy derivatives pricing models for over 20 years.

Custom Developed Pricing Models

Unlike vendors that rely upon pre-built libraries or toolkits, SciComp’s Custom Developed Pricing Models are built to exact customer specifications using state of the art numerical methods and customer selected interfaces and have comprehensive documentation and a complete description of the model implementation. A source code licensing option is available.  Find out more.

SciFinance: Optimal Approach for In-house Model Development

SciFinance automatically generates efficient C/C++-family pricing model source code from high-level model specifications. With hundreds of customizable, composable, industry-proven examples to choose from and a robust, transparent modeling environment, users can easily and rapidly create bespoke models for all asset classes.  Find out more.

Energy derivatives pricing models

Industry standard energy derivative models include, but are not limited to: 

  • Single and multiple factor spot models
  • Single and multiple factor futures models including Schwartz, Gabillon, and Gabillon + stochastic volatility extensions
  • PCA-based models including inter-commodity correlations and seasonality
  • Schwartz, Gabillon, and Gabillon + stochastic volatility extensions
  • Lognormal forward models with local volatility

In addition: SciComp supports the implementation of any derivatives pricing model valued using systems of partial differential equations (PDEs), stochastic differential equations (SDEs), or analytic functions. Therefore, users may define a nearly unlimited range of public-domain and proprietary models.

Energy derivatives pricing model calibration functions

SciComp customers may select from two types of solutions for model calibration: SciCalibrator, a module of SciFinance that helps users develop their own calibration functions; and Ready-to-Use Calibrators a suite of robust, ready-to-use, standalone calibration functions that can be tailored to meet customer requirements.

Energy derivatives contract types

The list of contract features below is representative of those available with SciComp solutions, but by no means exhaustive. For Custom Developed Pricing Models, customers can request any energy derivatives model features they wish. SciFinance users can write specifications from scratch to develop completely customized models in-house, or edit existing examples to adjust payoffs, add new path dependencies and define a limitless array of exotic contract features.

  • European/American Options
  • Commodity Swaps
  • European/Bermudan Commodity Swaptions
  • Exchange Options
  • Commodity Spread Options
  • Average Price Options
  • Barrier Options
  • Freight Options
  • Hybrid Basket Contracts
  • Swing and Take-Or-Pay Contracts
Energy Derivatives Pricing Models

Get more information on energy derivatives pricing models.