|
|
|
     |
 |
                  |
||
|
|
Exotic Options Highlights
Functions cover pricing and sensitivity analysis for all major exotic option types. Where applicable, the Greek coverage includes delta, omega, phi, gamma, theta, kappa, vega, and rho, with respect to each underlying. Many models have several implementations such as analytic, Monte Carlo simulation, and quanto variants. The model coverage includes Asian options (average strike and price), lookbacks, quantos, contingent premiums, barriers (single and double), binaries (cash, asset, gap, supershare), binary-barriers (one-touch cash or asset), baskets, exchange options, spread options, compound options, choosers, forward starts, Bermudans, cliquet, and swing options.
|
|