–At every mention of “pricing method”, ask
Q: Analytical (Ana) or Numerical (Num)?
Q: for European or American+exotic options?
Obviously Analytical methods only work for European style
Q: GBM assumption?
I think most numerical methods do. Every single method has severe
assumptions, so GBM is just one of them.
–At every mention of “Option”, ask
Q: European style of Amerian+Exotic style?
–At every mention of Black-Scholes, ask
Q: BS-E(quation) or BS-F(ormula) or BS-M(odel)?
Note numerical methods rely on BS-M or BS-E, not BS-F
–At every mention of Expectation, ask
Q: P-measure of Q-measure?
The other measures, like the T-fwd measure are too advanced, so no
need to worry for now.