Equity

Equity

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*
  • Anderson-Buffum model for liquid convertible bonds
  • 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

 

Numerix Quantitative Research
“Generalized Vanna-Volga Method and Its Applications”

Request Paper | View All Research Titles

 
 

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