Energy Options

Benefits

1. Pricing

An accurate and quick pricing engine calculates the fair value of the option, using both Monte Carlo simulations and closed-form formula solutions. KyOption displays the intrinsic value as well as the total value of the option. Advanced options types as commodity spread options and location spread options can be valued.

2. Position Management

KyOption calculates the Greeks of each options which allows you to effectively manage your options. In the case of options with multiple underlyings, like commodity spread options, KyOption shows the Greeks per underlying. Furthermore, the tool displays the volatilities and correlations that are used in the calculations. The user may override these parameters with its own views.

Features

The KyOption pricing tool is able to price a wide range of option types. An intuitive user interface allows for easy capture of single options, strip of options, commodity spread options and time spread options.

KyOption is fully embedded in the KYOS Analytical Platform. Automated data feeds ensure that you get up-to-date prices and Greeks every day.

Methodology

The option pricing engine calculates the price of each option using Monte Carlo simulations as well as a closed form formula solution. The Monte Carlo simulations are created using KySim, KYOS’ state of the art Monte Carlo simulation engine.

Optimization modules

• Gas storage
• Power plant
• Energy Options
• Swing contract