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

FixedBondOption

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

OptionEmbeddedFixedBond

  • "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:
BarrierFor BlackScholes model:
LookbackFor BlackScholes model:
SpreadFor BlackScholes model:
VanillaFor BlackScholes model:

For Heston model:

For Merton model:

For Bates model:

For Dupire model:

See Also

| |

Related Topics

Financial Instruments Toolbox Documentation
Support