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In 2008 we implemented a wide array of exotic options
in PLaNETa.
- Binary options (also called digital or
cash-or-nothing options).
- Path-dependent options.
- Asian Options — with arithmetic or geometric
averaging, with fixed or floating strike.
- Barrier Options — knock-in and knock-out.
- Lookback Options — with fixed or floating
strike.
- All path-dependent options in PLaNETa can have an
arbitrary set of monitoring dates: for example,
one can book (and price) an Asian option whose
average price is calculated using the asset price
between February, 23, March, 8 and July, 2.
Such options are priced using MG Soft Monte Carlo
pricing engine.
- We developed a universal Monte Carlo engine
for pricing exotic options.
- Pricing is performed using Monte Carlo simulation.
The number of iterations can be tuned to obtain a desired
accuracy / speed ratio.
- The pricing engine is versatile: it can be used to price
any path-dependent option with an arbitrary payoff function.
For instance, it can easily price an exotic option who
has features of lookback, Asian and barrier options
at the same time.
- Simulation is performed in a separate thread.
We are planning to implement the following features
in the future.
- Implement the support of new types of exotic options
(for example, rainbow options).
- Implement other numerical pricing methods (binomial model,
finite differences method, etc.).
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