I still dont quite understand.

However, on pricing of the exotics options, one thing to make clear first is that how you should hedge the risk (For instance vega here).

Normally vega is hedged with exchange traded options and variance swap(let's forget this for now). this is due to the fact that exchange traded options are liquid, price observable and available with different maturity/strikes so that you can construct a surface to model the vol dynamic to price smile sensitive deals, such as barrier options for instance. That's why we have to fit our implied/local/stochastic or whatever model to the liquid vanilla options then use it to price more complex product whose price might not be avaible from the market.

Does this anwser your question?

非常感谢，虽然没完全明白过来你说的什么

Which part exactly you dont understand?

A very simple example if you want to price a barrier option on s&p500 index. First thing you should to is to determine which model you should use to model the vol dynamics. Since barrier option is smile sensitive, stochastic vol/local stochastic volatility model are normally used. Take the Heston stochastic vol model as example, you first have to fit the model to exchange traded s&p500 options price which is called model calibration. Then you can use the calibrated model to price the OTC barrier option by certain numerical methods.

主要还是语言障碍，谢谢你了

sorry that I cant type Chinese here...-_-