StructuredMarkets, Inc. Completes Integration of Option Pricing Suite.Business Editors NEW YORK--(BUSINESS WIRE)--Oct. 17, 2000 StructuredMarkets, the first online platform for over-the-counter (OTC OTC See: Over-the-counter. OTC See over-the-counter market (OTC). ) Equity Derivatives In finance, an equity derivative is a class of financial instruments whose value is at least partly derived from one or more underlying equity securities. Market participants trade equity derivatives in order to transfer or transform certain risks associated with the , today announced the completion of the first installment of its analytics library. In conjunction with SciComp Inc., a leading provider of automated derivative pricing technology, and Planatech Solutions Ltd, technology specialists primarily servicing the financial markets, StructuredMarkets has developed a suite of online option pricing models option pricing model A mathematical formula for determining the price at which an option should trade. The model expresses the value of an option as a function of the value of the underlying asset, length of time until maturity, exercise price, yields on designed to facilitate the pricing and analysis of OTC equity derivatives. The suite of pricing models now available includes: - American and European Options - Barrier Options - Lookback Options - Zero Cost Collars - Digital Options - Quanto Options - Straddles, Strangles, and Spreads - Asian Options - Outperformance Options The models allow users to generate theoretical option premiums and the relevant "greek" risk parameters. An implied volatility Implied volatility The expected volatility in a stock's return derived from its option price, maturity date, exercise price, and riskless rate of return, using an option pricing model such as Black-Scholes. calculator is also available for puts, calls, and straddles. The models incorporate volatility skews for collars, spreads, and strangles strangles an acute disease of horses caused by infection with Streptococcus equi subsp. equi, and characterized by fever, purulent rhinitis, pharyngitis, laryngitis, abscessation of the draining lymph nodes and cough. and also accommodate situations in which the option hedge is complicated by a difficult stock borrow. Users may specify a continuous dividend yield or may build a customized dividend schedule comprised of discrete dividend payments. The zero cost collar Zero Cost Collar A type of positive-carry collar that secures a return through the purchase of a cap and sale of a floor. Also called "zero cost options" or "equity risk reversals. model allows users to compute the call strike for which the call premium offsets the put premium. The barrier option models, down & out, up & out, down & in, and up & in, accommodate rebates that are payable upon hit or at maturity. Specialized greeks are available that allow users to assess the impact of changes in the level of the barrier and the size of the rebate. StructuredMarkets plans to continually update its analytics library. Future targeted enhancements will include additional models such as pre-paid forwards, basket options Basket options Packages that involve the exchange of more than two currencies against a base currency at expiration. The basket option buyer purchases the right, but not the obligation, to receive designated currencies in exchange for a base currency, either at the prevailing , and variance swaps Variance Swap A type of volatility swap where the payout is linear to variance rather than volatility. Therefore, the payout will rise at a higher rate than volatility Notes: Variance is the square of standard deviation. . Registered users are encouraged to log in to the site www.structuredmarkets.com in order to utilize the pricing resources now available. Dean Curnutt, President of StructuredMarkets stated, "We are pleased to add this valuable functionality to the existing set of tools available on our online platform. We've worked closely with SciComp and Planatech to build a user-friendly yet robust interface that addresses the real-world complications facing a user of equity derivatives. Our ultimate aim is the seamless integration An addition of a new application, routine or device that works smoothly with the existing system. It implies that the new feature or program can be installed and used without problems. Contrast with "transparent," which implies that there is no discernible change after installation. of these models and real time market data into our electronic Request for Pricing engine. This promises to dramatically increase the transaction efficiency for OTC equity derivative products." Elaine Kant, President of SciComp Inc. stated, "We value our relationship with StructuredMarkets. It fits extremely well into our overall goal of automating the pricing of derivative products and providing quick turnaround time (1) In batch processing, the time it takes to receive finished reports after submission of documents or files for processing. In an online environment, turnaround time is the same as response time. for model development. Our software synthesis technology, which enables some of the world's largest investment banks The following is a list of investment banks Financial conglomerates Large financial-services conglomerates combine commercial banking and investment banking, and sometimes insurance. to rapidly prototype and build models, was used in developing these new analytics. We will continue to build relationships and products that enhance productivity for the buy-side and sell-side in the growing derivatives marketplace." Bruce Belson, Managing Director of Planatech Solutions stated, "The StructuredMarkets site offered us an opportunity to use all our core skills. With our latest generation of development tools, we were able to rapidly generate error-free code entirely from XML XML in full Extensible Markup Language. Markup language developed to be a simplified and more structural version of SGML. It incorporates features of HTML (e.g., hypertext linking), but is designed to overcome some of HTML's limitations. specifications. It was an exciting project to work on and we enjoyed a useful working relationship with the StructuredMarkets team." About StructuredMarkets, Inc. StructuredMarkets (www.structuredmarkets.com) is an online marketplace that streamlines the distribution, structuring, and execution process for over-the-counter (OTC) equity derivative transactions. StructuredMarkets links end-users of OTC equity derivatives with the providers (dealers) of these products and enhances key aspects of the structuring process including idea generation, product analysis, price discovery, and documentation management. About SciComp Inc. As the recognized leader in software synthesis, SciComp provides automated pricing technology to the financial services The examples and perspective in this article or section may not represent a worldwide view of the subject. Please [ improve this article] or discuss the issue on the talk page. industry. SciComp's products are used by some of the world's largest investment banks to decrease the turnaround time for derivative model development. Visit www.scicomp.com or call 512-451-1050 for more information. About Planatech Solutions Ltd. Planatech provides software development and consulting for the financial services industry. Core skills include language/technology interfaces, automated code generation and internet/intranet technical design. Planatech's products are used by global financial institutions to manage stable technical solutions to complex trade support problems. Visit www.as-ltd.co.uk or call +44 207-627-5153 for more information. |
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