SigmaFit 2.0

SigmaFit 2.0 Screenshot SigmaFit application is based on the author's novel exact solutions (YM_SV) of the Stochastic Volatility (SV) Option Problems.

Developer:   Scinance Analytics
      software by Scinance Analytics →
Price:  145.00  buy →
License:   Trial
File size:   0K
Language:   
OS:   Windows Vista (?)
Rating:   0 /5 (0 votes)

SigmaFit application 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.

SigmaFit features
  • Based on Dr. Y. Maghsoodi's closed-form analytical solutions of Advanced Stochastic Volatility (Futures) Option Problems ( YM_SV Models )
  • Models the Dynamics of the Asset and its Volatility as a Correlated Bivariate System of Stochastic Differential Equations
  • Version 2 applies an even more advanced Stochastic Volatility Option Model
  • hoice of Fitting YM_SV Option or Futures Option Model. Black-Scholes Option or Black-76 Futures Option Model also fitted
  • Version 2 can also price options on dividend paying assets
  • Version 2 can now fit YM_SV (Futures) Option Models to Market prices up to % 6410 more closely than Black-Scholes or Black-76 Model
  • Version 2 YM_SV Model can now recover Market Implied Volatility (IV) curve as closely as within its %0.27
  • Can Apply the YM_SV fitted Model to compute other options, such as next day's options over %1114 more closely
  • Can forecast other Market prices IV curve, such as next day's prices as closely as less than within its %0.7
  • Simple to Use, the user just fills in a simple Form and makes 2 simple 1 and 2-column Strike & Option Price text files and clicks Fit
  • Tips on Entering each data is displayed by placing mouse pointer on that data field
  • Example Data Samples from Market S&P500 and FTSE 100 (Futures) Options prices provide additional guidance and support
  • Version 2 fits Data even faster, within a few minutes fits up to 50 Market prices and computes all their European Calls, Puts, Greeks and IV's
  • Faster Pricing via Version 2, it can apply fitted YM_SV models to compute options with other parameters at up to 50 different strikes within a few seconds
  • OLE Interface with EXCEL displays all 50 computed prices, their Greeks and IVs within EXCEL with a click of a button
  • Compact Program, all files incl. guide, Samples and License amount to 0.6 MB in total. Installation is simply copying these files.
  • Platform Versatility, SigmaFit may be run on any IEEE Compliant PC with 32 MB RAM, WIN 95, 98, NT, 2000, ME and XP
  • Wide ranging Applications e.g. in Investments, Portfolio Insurance & Risk Ma

    tags futures option  market prices  option model  next day  stochastic volatility  advanced stochastic  form and  simple form  investments portfolio  can now  can apply  greeks and  within its  

    SigmaFit 2.0 screenshot


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