SuperDerivatives, a two-year old software house set up by former derivatives dealers, has launched a system to enable tyro traders to price exotic options just like highly experienced dealers.
The SuperDerivatives Exotic Options Pricing System was developed by David Gershon, the former global head of foreign exchange exotic options at Barclays Capital, with the aim of making it easier for companies to offset exposure to exotic currencies. He claims the system automatically calculates the bid and offer prices of options with accuracy comparable to that of an experienced trader.
Using the SuperDerivatives system, inexperienced or under-resourced traders should be able to correctly spot the price of an exotic F/X option with given parameters, and to accurately determine the bid-offer spread of the option, says Gershon.
SuperDerivatives is to market the system over the Web, providing subscribers with online access to real-time prices.