SigmaFit 2.0 Description:

SigmaFit application is based on the author's novel exact solutions (YM_SV) of the Stochastic Volatility (SV) Option Problems.

It fits a state of the art SV option model to market (futures) option prices up to d10 better than popular option pricing models like Black(76)-Scholes (also fitted). It can use the fitted models to forecast other market prices, Greeks & implied volatilities (IVs), like next day's prices over 14 closer.

These and other evidence are included as real examples users can run & see for themselves. SigmaFit is simple to use, just make 2 simple 1 and 2-column Strike and (market) Option Price text files, enter option parameters into a simple form and click Fit.

Hands on info, Readme & real examples give extra help. A click interfaces EXCEL to all the fitted & forecast prices, Greeks, IVs & the goodness of fit. SigmaFit has many applications & is indispensable in (Derivatives)(Arbitrage) Trading, Investments, Portfolio Management & Insurance, Risk Management, Hedging, VAR.

SigmaFit 2.0 Features:

· Based on Dr. Y. Maghsoodi's closed-form analytical solutions of Advanced Stochastic Volatility (Futures) Option Problems ( YM_SV Models )
· Models the Dynamics of the Asset and its Volatility as a Correlated Bivariate System of Stochastic Differential Equations
· Version 2 applies an even more advanced Stochastic Volatility Option Model
· hoice of Fitting YM_SV Option or Futures Option Model. Black-Scholes Option or Black-76 Futures Option Model also fitted
· Can also price options on dividend paying assets
· Can now fit YM_SV (Futures) Option Models to Market prices up to % 6410 more closely than Black-Scholes or Black-76 Model
· YM_SV Model can now recover Market Implied Volatility (IV) curve as closely as within its %0.27
· Can Apply the YM_SV fitted Model to compute other options, such as next day's options over 14 more closely
· Can forecast other Market prices IV curve, such as next day's prices as closely as less than within its %0.7
· Simple to Use, the user just fills in a simple Form and makes 2 simple 1 and 2-column Strike & Option Price text files and clicks Fit
· Tips on Entering each data is displayed by placing mouse pointer on that data field
· Example Data Samples from Market S&P500 and FTSE 100 (Futures) Options prices provide additional guidance and support
· Fits Data even fast, within a few minutes fits up to 50 Market prices and computes all their European Calls, Puts, Greeks and IV's
· Platform Versatility, SigmaFit may be run on any IEEE Compliant PC with 32 MB RAM, WIN 95, 98, NT, 2000, ME and XP
· Wide ranging Applications e.g. in Investments, Portfolio Insurance & Risk Management, (Arbitrage) Trading, Hedging, VAR....
· An Indispensable Tool for Investors, Finance Professionals, Researchers, Traders, Portfolio and Fund Managers.

SigmaFit 2.0 Requirements:

· 486 or Pentium
· RAM 32 MB (64 MB recommended).

SigmaFit 2.0 Limitations:

· 30 days trial

SigmaFit security information

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