Test Drive the Futures Volatility Surface Calibrator | SciComp Inc.

Test Drive the Futures Volatility Surface Calibrator

Multi-factor lognormal models such as Gabillon and Smith-Schwartz ignore the effects of volatility smiles commonly observed in the options markets. The Futures Volatility Surface Calibrator utilizes a practical, robust method for extending classical lognormal models to incorporate volatility smiles.

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Futures Volatility Surface Calibrator