Option (Derivative) Pricing

This simple project consists of commonly known options, from vanilla European and American ones to exotic and path dependent ones, under some well-known models in financial mathamtics from Black-Sholes-Merton and Heston models to more advanced models that include jump processes. However, we shall basically compute the prices using their (semi-)analytic formulae unless Monte-Carlo approach is not necessary. For Monte-Carlo approach we shall resort to other projects in the group or the lab in order to write a Monte-Carlo Pricing Engine maybe.