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Supported Exercise Styles

The following table lists the interest-rate instrument objects with their associated models and pricers and supported Exercise styles.

Interest-Rate Instrument TypeExercise Styles
Swaption
  • "European"HullWhite pricer for HullWhite model

  • "European"Black pricer for Black model

  • "European"SABR pricer for SABR model

  • "European"Normal pricer for Normal model

  • "European" or "American"IRTree pricer for HullWhite or BlackKarasinski models

FixedBondOption
  • "European", "American", or "Bermudan"IRTree pricer for HullWhite or BlackKarasinski models

FloatBondOption
  • "European", "American", or "Bermudan"IRTree pricer for HullWhite or BlackKarasinski models

OptionEmbeddedFixedBond
  • "European", "American", or "Bermudan"IRTree pricer for HullWhite or BlackKarasinski models

OptionEmbeddedFloatBond
  • "European", "American", or "Bermudan"IRTree pricer for HullWhite or BlackKarasinski models

The following table lists the equity, commodity, or FX instrument objects with their associated models and pricers and the supported Exercise styles.

Equity, Commodity, FX Instrument TypeExercise Styles
AsianFor BlackScholes model:

For Bates model:

For Merton model:

For Heston model:

BarrierFor BlackScholes model:

For Bates model:

For Merton model:

For Heston model:

DoubleBarrierFor BlackScholes model:

For Bates model:

For Merton model:

For Heston model:

LookbackFor BlackScholes model:

For Bates model:

For Merton model:

For Heston model:

SpreadFor BlackScholes model:
VanillaFor BlackScholes model:

For Heston model:

For Merton model:

For Bates model:

For Dupire model:

BinaryFor BlackScholes model:

For Heston, Bates, Merton models:

See Also

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