Pricing Partners develops new analytics for options on variance and volatility swaps
First Published 26th June 2012
Pricing Partners develops new analytics for options on variance and volatility swaps
Eric Benhamou, CEO, Pricing Partners
"We will substantially speed up our valuation platform for these products and provide accurate valuation and Greeks at almost no computing cost."
Paris, London & Hong Kong - Pricing Partners, the provider of OTC derivatives pricing analytics, mathematical models and independent valuation, have announced the release of new analytical formulae for options on variance and volatility swaps.
Based on latest work from Carr and Lee, by using matching moment technics and closed-form solution, Price-it Excel can now price volatility swaps, variance options and volatility options. New dedicated keywords are implemented to enable users to refer directly to these new techniques in their payoff description.
Eric Benhamou, CEO at Pricing Partners comments: "The volatility investment theme has been very popular during last years. By providing analytical computation, we will substantially speed up our valuation platform for these products and provide accurate valuation and Greeks at almost no computing cost, which enables us to shoot for very large volumes on these types of trades."
