Vanilla_Option_Group

Thereby the option holder has the right - but not the obligation - to buy (if a "call option") or to sell (if a "put option") in the future a single share of a specified underlying tradable at some preagreed price called "strike".

In mathematical terms, holding such an option on some underlying S is a means of getting non-linear exposure on that underlying.

In particular, letting

The pricing methodology is specified in Model[Vanilla Option]

The following QuantLib issues have been identified:

Info#14

The following direct subtypes exist:

Commodity Option

FX Option

Stock Index Option

Stock Option