Model

Exercise Type *

Vanilla Options

Black-Scholes

(A, E)

Black-Scholes-French

(A, E)

Whaley

(A)

Eurodollar

(A, E)

Binomial

(A, E)

Jump Diffusion

(E)

Bjerksund-Stensland

(A)

Roll-Geske-Whaley

(A)

Options with Monte Carlo

(E)

Asian Option Models

Average Price

(E)

Average Strike

(E)

Average Price with Monte Carlo

(E)

Two-Asset Asian Spread with Monte Carlo

(E)

Barrier Option Models

Single Barrier

(E)

Single Barrier Trinomial

(A, E)

Double Barrier

(E)

Lookback Barrier

(E)

Partial Start Barrier

(E)

Partial End Barrier

(E)

Soft Barrier

(E)

Partial-Time Two Asset Barrier

(E)

Two Asset Barrier

(E)

Binary Option Models

Asset-or-Nothing

(E)

Cash-or-Nothing

(E)

Two Asset Cash-or-Nothing

(E)

Gap

(E)

Supershare

(E)

Binary Barrier

(E)

Currency Translated Option Models

Equity Linked Foreign Exchange

(E)

Foreign Equity

(E)

Quanto

(E)

Takeover Foreign Exchange

(E)

Lookback Option Models

Extreme Spread

(E)

Floating Strike Lookback

(E)

Fixed Strike Lookback

(E)

Partial-time Fixed Strike Lookback

(E)

Partial-time Floating Strike Lookback

(E)

Floating Strike Lookback with Monte Carlo

(E)

Multiple Asset Option Models

Dual-Strike (and Reverse Dual-Strike)

(A, E)

Exchange

(A, E)

Exchange Binomial

(A, E)

Exchange Options on Exchange Options

(E)

Portfolio

(A, E)

Rainbow

(E)

Rainbow Binomial

(A, E)

Spread

(E)

Spread Binomial

(A, E)

Two-Asset Correlation

(E)

Multiple Exercise Option Models

Chooser

(E)

Complex Chooser

(E)

Compound

(E)

Compound Binomial

(A, E)

Executive

(E)

Forward Start

(E)

Time Switch

(E)

Writer Extendible

(E)