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Pricing Partners' Equity Module provides you with a wide coverage of derivative products, pricing models and numerical methods.  

Models available

  • Black Scholes
  • Local Volatility: Dupire
  • Stochastic Volatility: Heston, SABR, Piterbarg, Double Heston
  • Local Volatility + Jump: Miri Benhamou Gobet, Andersen
  • Stochastic Volatility + Jump: Bates
  • Local + Stochastic Volatility: Andersen
  • Stochastic Dividends

Application to products includes :

  • Options on single equity assets
    • Europeans, Americans, Bermudians
    • Barrier, Lookback, Asian Options
    • Variance Swaps
  • Simple and Complex Multi Asset Options
    • Rainbows, Cliquets and Accumulators
    • Mountain Range: Everest, Atlas, Himalaya and Altiplano
    • Napoleon type and forward Cliquet style  

 

To learn more about Pricing Partners' exhaustive models and product examples, download the list of models.