Interest Rate Derivatives
Bond by the Black-Derman-Toy model
Pricing swaption by the Black-Derman-Toy model
Stock Derivatives
Bermudan Option in the Double Exponential Model by FFT Pricing
Bermudan Option in the Jump-Diffusion Model by FFT Pricing
Discrete Asian Option in the Normal Inverse Gaussian Model by FFT Pricing
Discrete Asian Option in the Double Exponential Model by FFT Pricing
Discrete Asian Option in the Jump-Diffusion Model by FFT Pricing
Discrete Barrier Option by the Trinomial Tree Method
Discrete Barrier Option by the Monte Carlo Method
American Put by the Tree Method with Control Variate
Vanilla Put by the Tree Method and Combinatorial Method
Vanilla Put by the Tree Method
Discrete Barrier Option by FFT Pricing
Bermudan Option by FFT Pricing
Exchange Option by the QMC method
Multiple Compound Option by FFT pricing
Rainbow Option by the QMC method
Discrete Asian Option by FFT pricing
Discrete Geometric Asian Option
Barrier Option by a Numerical PDE Method
American Put by the Tree Method
Discrete Asian Option by Monte Carlo Method with Control Variates
Lookback Option by Monte Carlo Method
Credit Derivatives
Methods Menu
Derivatives Markets
- Stock Options
Including Exotic Options - Interest Rate Derivatives
Short Rate Model - Credit Derivatives
structural Models and Reduced Models
