Pricing Models for Derivatives

Model : Futures/Forwards Modeling

Description: Pricing and seasoned of equity/index/currency/commodity futures and forwards - both new contracts.

Inputs: Current Underlying Price, Time to Maturity, Interest Rate Dynamics, Dividends (if any), Contract Age and Delivery Price (for seasoned contracts)

Output: Future/Forward Price

Model: Vanilla options Modeling

Description: Pricing of vanilla call/put options on equities, indices, commodities and currencies.

Inputs: Current Underlying Price, Time to Maturity, Interest Rate Dynamics, Dividends (if any), Strike Price, Underlying Volatility

Output: Option Price

Model: Exotic/path dependent options

Description: Analytical and simulation based techniques to price path-dependent and exotic options on single underlying - examples include asian options, barrier options, lookback options.

Inputs: Current Underlying Price, Time to Maturity, Interest Rate Dynamics, Dividends (if any), Strike Price, Underlying Volatility

Output: Option price

Model: Multi-asset options pricing model

Description: Analytical and simulation based techniques to price path-dependent and exotic options on multiple underlyings - examples include exchange options, basket options.

Inputs: Current Price for each underlying, Time to Maturity, Interest Rate Dynamics, Dividends (if any), Strike Price, Volatility for each underlying

Output: Option price

Model: Extensions to commodities

Description: Extensions of pricing techniques to commodity options that incorporate estimation of convenience yields.

Input: Current Underlying Price, Time to Maturity, Interest Rate Dynamics, Convenience Yield Estimate, Strike Price, Underlying Volatility

Output: Option price

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