一共有89个期权定价模型,囊括了绝大多数期权定价模型(非全部)
> Vanilla Options
European | Black-Scholes(Basic) |
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> Exotic Options
Singer Barrier Striking a barrier either starts the option or ends it | Monte Carlo Simulation (Continuous Sampling) |
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> IR / FX / Currency Derivatives
Caplets & Floorlets | Black |
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> Fixed Income / Bond Derivatives
Bond Schaefer & Schwartz
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> Credit Derivatives
CDS Spread | Credit Grades (TM) |
> Trading Strategies
Currency Hedging with Futures | Hedge existing currency position |
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> Value at Risk
Value at Risk | Delta-Gamma Approach (1 asset) |
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