Finding Pricing Methods for Different Types of Options

Summary

The document asks for a broad reference mapping traded derivatives to commonly used valuation methods. It illustrates the idea with examples: Black-Scholes for European equity options, a binomial model for American options, Monte Carlo simulation for Asian options, Black-76 for swaptions, and term structure lattices for Bermudan swaptions. These are presented as examples in the question rather than as a complete or authoritative taxonomy.

The response points readers to a comprehensive book on option pricing formulas as a substantial catalog of option types and valuation approaches. It describes that reference as extensive but not exhaustive and somewhat dated. The document itself does not explain the models, compare their assumptions, or establish that any one method is an industry standard for every market or product. Its practical contribution is directing researchers toward a reference source while underscoring that model choice varies by instrument and that a single definitive list may be difficult to maintain.

Key ideas

• The request is for a reference linking derivatives to common valuation methods.
• The examples span closed form formulas, trees, simulation, and term structure lattices.
• The suggested book is described as extensive but neither complete nor fully current.
• The document does not compare model assumptions or validate the example mappings.

Tags

# Extensive list of financial derivatives and what method is used to value them


# Extensive list of financial derivatives and what method is used to value them












What I'm imagining is a long list of different types of financial instruments traded on the market along with the model(s) that is industry standard for valuing it. Something like:

European equity options : Black-Schooles model

American equity options : Binomial options pricing model

Asian equity options: Monte-Carlo simulation

Swaption : Black-76 model

Bermudan Swaption: Lattice-based term structure

and so forth. Has anyone come across something like this?

## Answer by Dimitri Vulis (score 2)

https://quant.stackexchange.com/a/54414

Not an exhausting list, and just a little dated, but a very extensive list of various kinds of options and the methods used to price them can be found in The Complete Guide to Option Pricing Formulas by Espen Gaarder Haug.

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.