Main Content

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
FixedBondOption
FloatBondOption
OptionEmbeddedFixedBond
OptionEmbeddedFloatBond
ConvertibleBondFor BlackScholes model:

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:

For Bachelier model:

VanillaFor BlackScholes model:

For Heston model:

For Merton model:

For Bates model:

For Dupire model:

For Bachelier model:

BinaryFor BlackScholes model:

For Heston, Bates, and Merton models:

For Bachelier model:

ConvertibleBondFor BlackScholes model:

See Also

| |

Related Topics