Equity

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Structure and Price Any Type of Equity Derivative
Numerix provides comprehensive coverage for any conceivable type of equity instrument, including the most complex structures, through our infinitely flexible deal-structuring architecture, payoff scripting language and a comprehensive library of market-standard equity models and proprietary numerical methods.

Below is a sampling of deal templates that users can customize as needed, as well as models and methods available with Numerix:

Customizable Instrument Templates*

American & European calls/puts
Auto-callable single asset option
Average-growth protected option
Booster note
Bull-Bear note
Chooser option
Cliquet call/put Option
Fader option
Forward-start call/put option
Installment option
Locked-return option
Range accrual
Realized volatility swap
Reverse convertible option
Variance swap
Asian options
- Asian dual call/put
- Asian strike call/put
- Asian underlying call/put
Barrier options
- Barrier down-style call/put
- Barrier up-style call/put
- Double barrier call/put
Compound call/put on American/European call/put
Digital options
- Digital call/put
- Digital call/put no touch
- Digital call/put one touch at end
- Digital call/put one touch on hit
- Barrier double digital no touch
- Barrier double digital at end
- Barrier double digital on hit
Lookback options
- Lookback call/put
- Lookback range call/put
- Lookback strike call/put
Equity baskets
- Equity basket call/put option
- Best/worst-of-N asset and performance basket options
- Correlation basket option
- Galaxy (swing) basket option
- Mountain range baskets (Annapurna, Altiplano, Atlas, Everest, Himalayan)
Napoleon basket option
Podium basket option

Models and Methods Available*

Black Scholes model
Dupire local volatility model, also with advanced fit of local volatility surface
Heston stochastic volatility model with constant and time-dependent coefficients
Bates stochastic volatility jump-diffusion model
Local stochastic volatility model
SABR stochastic volatility model
Quanto equity model
Multi-factor BS/Dupire/Heston/Bates basket models
One-factor Dupire model and two-factor Heston model with Markovian projection for equity index exotics
Hybrid single-currency equity basket model
Hybrid single- and multi-currency equity basket models with stochastic IR/FX (BS, Dupire, or Heston Models for individual equities)
Continuous or discrete dividends
Vanna-Volga pricing method
Fast low-dimensional PDE methods for Asian and Lookback options
CPD kernel pricer for callable path-dependent equity baskets
Analytic/PDE/Tree/Lattice/Monte Carlo simulations

* Not an exhaustive list