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Quick Download SigmaFit 1.

SigmaFit?br />

SigmaFit™ ?br /> YM 2002 The Stochastic Volatility Option Fitter and Calculator

SigmaFit is based on Dr. Y. Maghsoodi’s (Scinance
Analytics) closed-form solutions (YM_SV) 

of  Stochastic Volatility Option Problems.

Contrary to the assumption of most Option Pricing models, real
Market volatilities are 

Stochastic. SigmaFit Captures the underlying’s
Stochastic Volatility (SV) dynamics 

into an advanced SV (Futures) Option model (YM_SV) by fitting the Model
to up to 

50 Market option prices within minutes. It can then use the fitted models to price
other user 

required options, their Greeks and Implied Volatilities (IV) within seconds.

The result is up to an astounding %3700 improvement in pricing accuracy, with IV curve 

matching Market (e.g. FTSE 100) as closely as within its %0.42. SigmaFit
can use the day's 

fitted YM_SV  model to forecast the next day's Market option prices by up to %890 more 

closely than Black-Scholes or Black-76 Model (also fitted) with IV curve accuracy of %0.97. 

These and other real empirical evidence are included as real examples
that the users can 

run and see for themselves.

SigmaFit is simple to use, just make 2 simple 1 and
2-column Strike and (Market) Option Price 

text files, fill in a simple GUI form and click Fit. Help on
entering each parameter is displayed 

automatically. Readme file and examples provide additional help.
All files amount to 0.6 MB. An&nbs


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File Size:0 KB
Last updated:01-26-02
License: Shareware   $295
OS:Win 95/NT/2000/98/ME
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