Model[Vanilla_Option]__Pricing_Approach
Pricing Approach refers to List of available pricing approaches.
Available Pricing Approach types:
All
Encompasses all available pricing algorithms.
The complete list is AllPricingApproaches
Analytic
Encompasses those pricing algorithms that implement a closed form mathematical formula.
There may still be some numerical work involved, such as carrying out a numerical integration.
These sorts of algorithms are much faster than those of non-analytic methods, but their application domain is typically limited to products with vanila features, such as european options.
The complete list is AnalyticApproach
Finite Differences
Encompasses those pricing algorithms that implement a Finite Differences method.
They are particularly suitable for pricing products with american or bermudan exercise rights.
The complete list is FDApproach
Monte Carlo
Encompasses those pricing algorithms that implement a Monte Carlo simulation.
They are particularly suitable for pricing products with path dependent features.
The complete list is MCApproach
Tree
Encompasses those pricing algorithms that implement a tree.
They are particularly suitable for pricing products with american or bermudan exercise rights.
The complete list is TreeApproach