Models Package

The models package contains all the financial pricing models available in the library. Each model is a concrete implementation of the BaseModel abstract class.

The models can be broadly categorized:

• Standard Models: Foundational models like Black-Scholes-Merton.
• Stochastic Volatility: Models where volatility is its own random process, such as Heston and SABR.
• Jump-Diffusion: Models that incorporate sudden jumps in the asset price, like Merton's Jump-Diffusion and Kou's Double-Exponential model.
• Pure Levy: Models based on Levy processes, such as Variance Gamma (VG), Normal Inverse Gaussian (NIG), and CGMY.

For developers looking to implement new models, please see the Base Classes documentation.