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Numerical Core

The Theta Suite software implements ahead-of-the-art numerical methods that increase the speed of Monte Carlo simulations such that they can compete in areas that are dominated by PDE methods today. Hence any financial model can be evaluated quickly and precisely. Thetaris also has developed a unique technology called Simulation-Based Hedging, which can evaluate options with early exercise features orders of magnitudes faster then any other Monte Carlo method.

The properties of the numerical core are:

  • High-speed simulation of arbitrary stochastic processes
  • Access to 3rd party implementations of stochastic processes
  • Accurate estimation of expected values conditional on each scenario
  • Computation of correlations conditional on each scenario

Thus enabling

  • Extreme speed for pricing of options with early exercise (American features)
  • Speedy evaluation of any financial model
  • Easy introduction of optimal control variables for further variance reduction

Convergence Pricing an American option

Simulation-Based Hedging vs. Least-Squares Monte Carlo pricing an American Option worth 13.667 on a 1.7 GHz Pentium 4.

Thearis’ unique technology, Simulation-Based Hedging, is faster for pricing exercisable options than any other Monte Carlo method since its accuracy not only depends on the number of paths but also on the number of time-steps.