Pricing Partners, the world leader in OTC derivatives pricing analytics, mathematical models and independent valuation, announced today to release 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 accurately and quickly 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.”