Can any assumptions be made about the pay-off of an exotic option? For example, might we say the distribution of the pay-off a vanilla option would be Normal?
I have built a valuation tool that estimates the price of a replicating delta-hedging strategy through Monte Carlo methods by trading the structure of a forward curve. It seems that a histogram of the pay-offs have two relative maximums. Can anyone explain this?
Are options (/ real options) prices logNormally distributed, or does the standard assumption not hold given convexity?