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Is there any industry consensus about the model to use for pricing exotics in equity, FX and interest rates? I assume that for vanilla options they all use Black model, but how about exotics?

Also, for those standard models applied to exotics, do they have closed form solutions like Black & Scholes or they all use Monte Carlo simulations to generate paths for the underlying and the stochastic volatility?

Is there any industry consensus about the model to use for pricing exotics in equity, FX and interest rates? I assume that for vanilla options they all use Black model, but how about exotics?

Is there any industry consensus about the model to use for pricing exotics in equity, FX and interest rates? I assume that for vanilla options they all use Black model, but how about exotics?

Also, for those standard models applied to exotics, do they have closed form solutions like Black & Scholes or they all use Monte Carlo simulations to generate paths for the underlying and the stochastic volatility?

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opt
opt
  • 569
  • 9
  • 19

What is market standard model in equity, FX and interest rates exotics?

Is there any industry consensus about the model to use for pricing exotics in equity, FX and interest rates? I assume that for vanilla options they all use Black model, but how about exotics?