SigmaFit software utilizes a Stochastic Volatility model to fit market option prices and provides highly accurate forecasts for other options, Greeks, and Implied volatilities, up to 890%.
SigmaFit is a powerful software tool that helps investors, traders, finance professionals, and researchers accurately price stochastic volatility options. Developed by Dr. Y. Maghsoodi of Scinance Analytics in 2002, SigmaFit is based on the company's YM_SV closed-form solutions for stochastic volatility option problems.
Unlike traditional option pricing models, SigmaFit takes into account the stochastic nature of real market volatilities. By capturing the underlying dynamics of stochastic volatility into an advanced SV (Futures) option model, SigmaFit can fit the model to up to 50 market option prices within minutes.
With SigmaFit, users can easily price other required options, their Greeks, and implied volatilities (IV) within seconds, resulting in up to a 3700% improvement in pricing accuracy. The software can even use the day's fitted model to forecast the next day's market option prices by up to 890% closer than Black-Scholes or Black-76 models.
SigmaFit is incredibly user-friendly, requiring only two simple 1 and 2-column strike and market option price text files and a simple GUI form. Help on entering each parameter is displayed automatically, and a readme file and examples provide additional assistance. All files amount to 0.6 MB.
Using SigmaFit is easy in any interface. It can be used with Excel, where all fitted and computed prices, their Greeks, and IVs are displayed with a click of a button.
At only $395, SigmaFit is an indispensable tool with wide applications in investments, (arbitrage) trading, portfolio insurance, risk management, hedging, and VAR. This price includes a one-year multi-user license, which can be used by an unlimited number of users on one designated machine, excluding simultaneous or remote use such as via a network or web access. The annual license renewal fee for each subsequent year is $145.00.
For those interested in SigmaFit, a free 30-day trial demo version is available for download at the author's website, www.ScinanceAnalytics.com. The website provides detailed features, numerical results, and charts that users can explore before purchasing this software.
Unlike traditional option pricing models, SigmaFit takes into account the stochastic nature of real market volatilities. By capturing the underlying dynamics of stochastic volatility into an advanced SV (Futures) option model, SigmaFit can fit the model to up to 50 market option prices within minutes.
With SigmaFit, users can easily price other required options, their Greeks, and implied volatilities (IV) within seconds, resulting in up to a 3700% improvement in pricing accuracy. The software can even use the day's fitted model to forecast the next day's market option prices by up to 890% closer than Black-Scholes or Black-76 models.
SigmaFit is incredibly user-friendly, requiring only two simple 1 and 2-column strike and market option price text files and a simple GUI form. Help on entering each parameter is displayed automatically, and a readme file and examples provide additional assistance. All files amount to 0.6 MB.
Using SigmaFit is easy in any interface. It can be used with Excel, where all fitted and computed prices, their Greeks, and IVs are displayed with a click of a button.
At only $395, SigmaFit is an indispensable tool with wide applications in investments, (arbitrage) trading, portfolio insurance, risk management, hedging, and VAR. This price includes a one-year multi-user license, which can be used by an unlimited number of users on one designated machine, excluding simultaneous or remote use such as via a network or web access. The annual license renewal fee for each subsequent year is $145.00.
For those interested in SigmaFit, a free 30-day trial demo version is available for download at the author's website, www.ScinanceAnalytics.com. The website provides detailed features, numerical results, and charts that users can explore before purchasing this software.
What's New
Version 1.1: N/A