Commodity / Energy Derivatives
Pricing Models
SciComp’s industry standard commodity/energy derivative models include, but are not limited to:
- Black-Scholes
- Local volatility models (LV)
- Stochastic volatility models (SV), including asset (SVJ) and variance jumps (SVJJ)
- Stochastic local volatility models (SLV)
- SABR
- Schwartz, Gabillion, and Gabillion + stochastic volatility extensions
- Lognormal forward models with local volatility
Contract Types
The partial, representative list below only hints at the infinite variety of contract features available with SciComp solutions. With SciFinance, customers can edit the provided specifications to adjust payoffs, add new path dependencies and define a limitless array of exotic contract features. SciFinance users can also write specifications from scratch to develop completely customized models. SciComp Consulting customers can request any equity derivative model features they wish.
- European/American Options
- Commodity Swaps
- European/Bermudan Commodity Swaptions
- Exchange Options
- Commodity Spread Options
- Average Price Options
- Barrier Options
- Freight Options
- Hybrid Basket Contracts
- Swing and Take-Or-Pay Contracts