期权定价公式大全

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Option Pricing Models

Plain Vanilla Options

1The generalized Black and Scholes option pricing formula

2Options on a stock with cash dividens

3The Black and Scholes model adjusted for trading day volatility

4The jump diffusion model

5American calls on stocks with known dividends

6American approximations, The Barone-Adesi and Whaley model, and The Bjerksund and Stensland mod 7The Miltersen and Schwartz commodity option model

Exotic Options

8Executive stock options

9Forward start options

10Time switch options

11Chooser options

12Options on options

13Writer extendible options

14Two asset correlation options

15Exchange one asset for another options

16Exchange options on exchange options

17Options on the maximum or the minimum of two risky assets

18Spread option approximation

19Floating strike lookback options

20Fixed strike lookback options

21Partial-time floating strike lookback options

22Partial-time fixed strike lookback

23Extreme spread options

24Standard barrier options

25Double barrier options

26Partial-time single asset barrier options

27Two asset barrier options

28Partial-time two asset barrier options

29Look-barrier options

30Soft-barrier options

31Gap options

32Cash-or-nothing options

33Two asset cash-or-nothing options

34Asset-or-nothing options

35Supershare options

36Binary barrier options

37Geometric average rate options

38Arithmetic average rate options: The Turnbull and Wakeman approximation

39Arithmetic average rate options: Levy's approximation

40Foreign equity options struck in domestic currency

41Fixed exchange rate foreign equity options

42Equity linked foreign exchange options

43Takeover foreign exchange options

Interest Rate Options

44Swaptions

45The Vasicek model

All manual input in blue on white

All output in read on grey

Information on yellow background used for drop-down menus

d and Stensland model

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