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Equity Derivatives

SciComp Equity derivatives pricing models

SciComp’s industry standard equity 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
  • Regime switching

Equity derivatives 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.

  • Binaries
  • Barriers
  • Asians and Lookbacks
  • Single Asset Exotics (passports, compounds, choosers, range accrual, cliquets, etc.)
  • Forward Starting Features (add to any structure)
  • Multiple Assets
  • Complex Equity-Linked Notes
  • Volatility and Variance options

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