SigmaFit is based on the author's novel exact solutions (YM_SV) of the Stochastic Volatility (SV) Option Problems. It fits a state of the art SV option model to market (futures) option prices up to %6410 better than popular option pricing models like Black(76)-Scholes (also fitted). It can use the fitted models to forecast other market prices, Greeks & implied volatilities (IVs), like next day's prices over %1114 closer.
These and other evidence are included as real examples users can run & see for themselves. SigmaFit is simple to use, just make 2 simple 1 and 2-column Strike and (market) Option Price text files, enter option parameters into a simple form and click Fit. Hands on info, Readme & real examples give extra help. A click interfaces EXCEL to all the fitted & forecast prices, Greeks, IVs & the goodness of fit. SigmaFit has many applications & is indispensable in (Derivatives)(Arbitrage) Trading, Investments, Portfolio Management & Insurance, Risk Management, Hedging, VAR.
Requirements:
Windows 95/98/NT/2000/XP
Limitations:
30-day or 30-use trial
Comments not found