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Base Classes:

  • Base Option Classes
  • Stochastic Volatility Base Classes

Single-Asset Models:

  • Black-Scholes-Merton Model
  • Bachelier (Normal) Model
  • Constant Elasticity of Variance (CEV) Model
  • Stochastic Volatility Inspired (SVI)
  • Hyperbolic Normal Stochastic Volatility (NSVh) Model
  • Stochastic-Alpha-Beta-Rho (SABR) Model
  • SABR Model with Integration
  • SABR Monte Carlo
  • Heston Model
  • Stochastic Volatility with Fourier Inversion
  • Schöbel-Zhu (OUSV) Model
  • GARCH Model
  • Rough Heston Model
  • 3/2 Stochastic Volatility Model

Multi-Asset and Path-Dependent Models:

  • Multiasset Models
  • Multiasset Monte-Carlo Models
  • Asian Options
  • American Options

Utilities:

  • Gamma distribution-related Models
  • Subordinated Brownian Motion
  • MGF to Moments
  • Asset Allocation Models
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