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AllPricingApproaches

AnalyticBarrier
Corresponds to the QuantLib AnalyticBarrier Engine.
AnalyticBSMHullWhite
Corresponds to the QuantLib AnalyticBSMHullWhite Engine.
2-factor model, with a closed-form solution, driven by stochastic underlying price and interest rates.
In particular, the underlying price is modelled to follow a Black-Scholes type, lognormal diffusion whereas the interest rate is modelled according to
Hull White Model
The two processes are correlated with a given flat correlation number.
AnalyticDigitalAmerican
Corresponds to the QuantLib AnalyticDigitalAmerican Engine.
AnalyticDividendEuropean
Corresponds to the QuantLib AnalyticDividendEuropean Engine.
AnalyticEuropean
Corresponds to the QuantLib AnalyticEuropean Engine.
It uses the Black-Scholes analytical formula for pricing european options. Web reference available
here
AnalyticGJRGARCH
Corresponds to the QuantLib AnalyticGJRGARCH Engine.
The underlying price is modelled according to
GJRGARCH Model
AnalyticHeston
Corresponds to the QuantLib AnalyticHeston Engine.
2-factor model, with a closed-form solution, driven by stochastic underlying price and volatility.
The underlying price process is modelled according to
Heston Model
Allows the specification of:
Model[Vanilla Option]::Complex Log Formula
Model[Vanilla Option]::Integration
and also of the absolute/relative tolerance, maximum number of evaluations and the Andersen Piterbarg epsilon wrt the Fourier integration.
AnalyticHestonHullWhite
Corresponds to the QuantLib AnalyticHestonHullWhite Engine.
3-factor model, with a semi closed-form solution for call options, driven by stochastic underlying price, volatility and interest rates.
In particular, the underlying price is modelled to follow a Heston stochastic volatility process as in
Heston Model, whereas the interest rate is modelled according to Hull White Model
References: Karel in't Hout, Joris Bierkens, Antoine von der Ploeg, Joe in't Panhuis.
AnalyticPTDHeston
Corresponds to the QuantLib AnalyticPTDHeston Engine, which is the Piecewise Time Dependent version of the regular AnalyticHeston Engine.
2-factor model, with a semi closed-form solution, driven by stochastic underlying price and volatility.
The underlying price process is modelled according to
PTD Heston Model
BaroneAdesiWhaleyApprox
Corresponds to the QuantLib BaroneAdesiWhaleyApproximation Engine.
It uses an approximating semi-analytical formula for pricing american options. Web reference available
here
Bates
Corresponds to the QuantLib Bates Engine.
4-factor model, with a closed-form solution, driven by stochastic underlying price, volatility and jumps with random occurence and size.
The underlying price process is modelled according to
Bates Model
BinomialVanilla
Corresponds to the QuantLib BinomialVanilla Engine.
It uses a binomial tree model for pricing all types of options.

This method requires the specification of an object of type
Tree
BjerksundStenslandApprox
Corresponds to the QuantLib BjerksundStenslandApproximation Engine.
It uses an approximating semi-analytical formula for pricing american options. Web reference available
here
FDAmerican
Corresponds to the QuantLib FDAmerican Engine.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here

This method requires the specification of an object of type
Finite Differences
FdBatesVanilla
Corresponds to the QuantLib FdBatesVanilla Engine.
3-factor model driven by stochastic underlying price, volatility and jumps.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here
The underlying price is modelled according to
Bates Model

This method requires the specification of an object of type
Finite Differences
FDBermudan
Corresponds to the QuantLib FDBermudan Engine.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here

This method requires the specification of an object of type
Finite Differences
FdBlackScholesBarrier
Corresponds to the QuantLib FdBlackScholesBarrier Engine, which internally calls the FdBlackScholesRebate engine if rebates are present.

This method requires the specification of an object of type
Finite Differences
FdBlackScholesVanilla
Corresponds to the QuantLib FdBlackScholesVanilla Engine.

This method requires the specification of an object of type
Finite Differences
FDDividendAmerican
Corresponds to the QuantLib FDDividendAmerican Engine.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here

This method requires the specification of an object of type
Finite Differences
FDDividendEuropean
Corresponds to the QuantLib FDDividendEuropean Engine.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here
Known issue:
Although this method can only handle european options, it does not complain when the option being priced is not european.
The pricing proceeds silently as if were european!
This is a QuantLib treatment, which Deriscope does not attempt to alter.

This method requires the specification of an object of type
Finite Differences
FDEuropean
Corresponds to the QuantLib FDEuropean Engine.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here
Known issue:
Although this method can only handle european options, it does not complain when the option being priced is not european.
The pricing proceeds silently as if were european!
This is a QuantLib treatment, which Deriscope does not attempt to alter.

This method requires the specification of an object of type
Finite Differences
FdHestonBarrier
Corresponds to the QuantLib FdHestonBarrier Engine, which internally calls the FdHestonRebate engine if rebates are present.
2-factor model driven by stochastic underlying price and volatility.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here
The underlying price is modelled according to
Heston Model

This method requires the specification of an object of type
Finite Differences
FdHestonHullWhiteVanilla
Corresponds to the QuantLib FdHestonHullWhiteVanilla Engine.
3-factor model driven by stochastic underlying price, volatility and interest rates.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here
The underlying price is modelled to follow a Heston stochastic volatility process as in
Heston Model, whereas the interest rate is also stochastic and modelled according to Hull White Model

This method requires the specification of an object of type
Finite Differences
FdHestonVanilla
Corresponds to the QuantLib FdHestonVanilla Engine.
2-factor model driven by stochastic underlying price and volatility.
It makes use of the implicit finite differences numerical scheme developed by John Crank and Phyllis Nicolson. Web reference available
here
The underlying price is modelled according to
Heston Model

This method requires the specification of an object of type
Finite Differences
Integral
Corresponds to the QuantLib Integral Engine.
It prices european options through numerical computation of the integral of the payoff function over all possible stock price states at expiry. Web reference available
here
JumpDiffusion
Corresponds to the QuantLib JumpDiffusion Engine.
3-factor model, with a semi closed-form solution, driven by stochastic underlying price and jumps with random occurence and size.
The underlying price process is modelled according to
Merton76 Model
JuQuadraticApprox
Corresponds to the QuantLib JuQuadraticApproximation Engine.
It uses an approximating semi-analytical formula for pricing american options. Web reference available
here
Warning: Barone-Adesi-Whaley critical commodity price calculation is used.
It has not been modified to see whether the method of Ju is faster.
Ju does not say how he solves the equation for the critical stock price, e.g. Newton method.
He just gives the solution.
The method of BAW gives answers to the same accuracy as in Ju (1999).
MCAmerican
Corresponds to the QuantLib MCAmerican Engine.
It uses the Longstaff Schwarz Monte Carlo approach for pricing american options. Web reference available
here
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]
MCBarrier
Corresponds to the QuantLib MCBarrier Engine.
It uses a Monte Carlo method for pricing barrier options.
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]
MCDigital
Corresponds to the QuantLib MCDigital Engine.
It uses a Monte Carlo method for pricing american style digital options.
In particular, it uses the Brownian Bridge correction for the barrier found in Web reference available
here
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]
MCEuropean
Corresponds to the QuantLib MCEuropean Engine.
It uses a Monte Carlo method for pricing european options.
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]
MCEuropeanGJRGARCH
Corresponds to the QuantLib MCEuropeanGJRGARCH Engine.
It uses a Monte Carlo GJR-GARCH method for pricing european options.
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]
MCEuropeanHeston
Corresponds to the QuantLib MCEuropeanHeston Engine.
It uses a Monte Carlo method to implement the Heston stochastic volatility model for pricing european options.
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]
MCHestonHullWhite
Corresponds to the QuantLib MCHestonHullWhite Engine.
It uses a Monte Carlo method to implement the Heston-Hull&White stochastic volatility and interest rates model for pricing european options.
For a general discussion on the Monte Carlo approach click
here

This method requires the specification of an object of type
Model[Simulation]
Trinomial
[Forthcoming] Deriscope version!Corresponds to a forthcoming QuantLib Trinomial Engine.