SunGard expands options offering
TECHNOLOGY NEWS
The FX stochastic volatility model (FXSVM) was developed by the quantitative research group at SunGard Reech to meet requirements for pricing and hedging short-term exotic options in the FX market.
A key feature is the ability to replicate the 'market smile' moves for a typical spot change, and not only the current 'market smile' for a day's spot value. In doing so, the model generates an accurate fair-value price by also ensuring the model will have the proper hedge ratio, including the right
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