Advanced Pricing Models for Derivatives

Model: Pricing for options on non-traded variables

Description: Analytical and Simulation based pricing models for options on non-traded variables. Examples include volatility options.

Input: Models of "Price"/Value Dynamics for non-traded variables and corresponding parameter estimates

Output: Option price

Model: Stochastic volatility models

Description: Simulation based techniques that price options based on stochastic volatility models.

Inputs: Models for Volatility Dynamics and corresponding parameters

Output: Derivative pricing

Model: Jump Diffusion models

Description: Simulation based techniques that price options based on jump diffusion models.

Input: Models for Jump Processes and corresponding parameters

Output: Derivative pricing

Model: Models with stochastic volatilities & jumps

Description: Simulation based techniques that price options based on a combination of stochastic volatility and jump diffusion models.

Inputs: Models for Jump Processes and Volatility Dynamics and corresponding parameters

Output: Derivative pricing

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