financialkit.exotic_options
===========================


.. include:: /_generated/nav/exotic_options.rst

Barrier options: Merton's down-and-out call, the Reiner-Rubinstein closed
forms for all eight single barriers with rebates, Ikeda-Kunitomo double
barriers, the Broadie-Glasserman-Kou correction for discrete monitoring
and Monte Carlo with Brownian-bridge crossing probabilities; binary
options (cash-or-nothing, asset-or-nothing, gap and one-touch); Asian
options (Kemna-Vorst geometric closed forms, arithmetic Monte Carlo with
the geometric control variate, Turnbull-Wakeman moment matching);
floating and fixed lookbacks with bridge-sampled extrema; variance swaps
replicated by a strip of options; Geske compound options, forward
starts and choosers; Margrabe exchange options, Stulz options on the
maximum and minimum and Reiner quantos; and American options by
Longstaff-Schwartz least-squares Monte Carlo. Paths come from
:mod:`financialkit.integrators` and Monte Carlo results from
:mod:`financialkit.monte_carlo`.

.. automodule:: financialkit.exotic_options
   :members:
   :undoc-members: