Warrant Arbitrage, Option Pricing Software
The application combines a blend of traditional option pricing calculators together with practical fine
tuning to identify warrant price anomalies on a volatility basis, or where warrant prices
have broken their historic relationships with the underlying stock price.
Developed as a result of the experience gained whilst working and trading on the Japanese Warrants desk and having fine-tuned the software for the Japanese market, other markets, in particular the European markets, have been incorporated.
At the heart of the system is empirical regression and volatility crossover analysis, providing real-time pricing and graphical capabilities to view particular issues, or the market by sector, maturity, SE or a combination (SE = stock price / exercise price). Other features include interactive Premium/SE and Implied Volatility/Historic Volatility graphics, what-if-scenarios and a variety of reports to track the warrant universe.
Whilst the basis for creative warrant trading strategies, the system can dramatically enhance client comfort levels with graphical awareness of optimal warrant/stock purchases and by confirming fundamentals.
Customised for Lehman Brothers, London and Tokyo, to take in real-time warrant prices from Reuters Triarch and equity prices from Telerate quote system.
OptDrvr - Option Pricing Models
FutCalc - Futures Calculator
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