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SigmaFit 2

SigmaFit 2

SigmaFit Publisher's Description


SigmaFit© YM 2002-2006 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 %6410 improvement in pricing accuracy, with IV  
curve matching Market (e.g. FTSE 100) as closely as within its %0.27. SigmaFit can  
use the day's fitted YM_SV  model to forecast the next day's Market option prices  
by up to more than %1114 more closely
 than Black-Scholes or Black-76 Model (also  
fitted) with IV curve error as small as %0.7. These and other real empirical evidence  
are included as real examples that the users can run and see for themselves. Version 2  
also computes options on dividend paying assets.

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 Interface displays all fitted and computed prices, their Greeks  
and IVs within EXCEL with a click of a button.

SigmaFit is as an indispensable tool for Investors, Traders, Finance Professionals and 
with wide applications, e.g. in Investments, (Arbitrage) Trading,  Portfolio 
Insurance, Risk Management, Hedging and VAR.

The above price is for a one year Multi-user license for use by unlimited number of users  
on one designated machine, excluding simultaneous or remote use e.g. via a network or  
web access. Annual license renewal fee for each subsequent year is $65.00 which includes
new version upgrades.

Further details about SigmaFit including detailed features, numerical results and charts  
can be found at the Author's site:

Click here to download FREE 30 DAYS TRIAL demo version of SigmaFit

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