期权定价公式大全
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