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Option Pricing & VaR

Option Pricing For Energy, Commodity, FX, Equity And Interest Rates

    A unique and powerful option pricing environment allowing independent option pricing for all option types, European, American, Asian, and path dependent options, across all underlying securities, interest rates, FX, equity, commodity and energy.
    All option Greeks are computed including delta, gamma, theta, vega, and rho. In addition, a risk band around the fair price is also displayed to help hedging in illiquid markets. Pricing is not limited to the fair value of an option as it is done traditionally, but a suggested trading price is also evaluated. You can thus price and trade options at some percentile above/below the fair value, to account for their VaR. This is very valuable in pricing physical energy and commodity options, or options in illiquid markets where delta hedging is impossible.
    Our methodology uses trinomial trees for faster convergence. A proprietary method interlacing trinomial trees with the Monte Carlo simulation engine is used to evaluate option VaR. This is also used to compute and plot option values or premiums across a range of strike prices for ease of trading.