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Math models for exotic options

Models

  • Black-Scholes model
  • Local volatility model
  • Heston local-stochastic volatility model (LSV)
  • Log-normal local stochastic volatility model (Ln-LSV)

Solution engines

  • Close-form
  • PDE: finite-difference, finite-element
  • Monte-Carlo

Option classes

  • Multi-window barrier options
  • Multi-currency basket options
  • Compound, forward-start options
  • Quanto options
  • Multi-currency barrier options