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<li class="toctree-l1"><a class="reference internal" href="system%20settings.html">第0章 与定价相关的系统全局设置</a></li>
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<li class="toctree-l1"><a class="reference internal" href="european.html">第1章 欧式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="american.html">第2章 美式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="asian.html">第3章 亚式期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="binary.html">第4章 二元期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="barrier.html">第5章 障碍期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="snowball.html">第6章 雪球期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="phoenix.html">第7章 凤凰期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="airbag.html">第8章 气囊结构</a></li>
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<li class="toctree-l1"><a class="reference internal" href="shuangsha.html">第9章 双鲨期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="rangeaccrual.html">第10章 区间累积期权</a></li>
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<li class="toctree-l1"><a class="reference internal" href="greeks.html">附录1:希腊值</a></li>
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<li class="toctree-l1 current"><a class="current reference internal" href="#">附录2:期权定价方法概述</a></li>
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<section id="my-reference-labelmodel">
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<span id="id1"></span><h1>附录2:期权定价方法概述<a class="headerlink" href="#my-reference-labelmodel" title="Permalink to this headline"></a></h1>
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<table class="docutils align-default">
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<col style="width: 28%" />
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<col style="width: 58%" />
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<thead>
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<tr class="row-odd"><th class="head"><p>期权结构</p></th>
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<th class="head"></th>
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<th class="head"><p>模型方法</p></th>
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</tr>
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</thead>
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<tbody>
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<tr class="row-even"><td><p>香草期权</p></td>
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<td><p>欧式香草</p></td>
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<td><p>BSM,Black76,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>美式香草</p></td>
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<td><p>BAW,二叉树,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p>亚式期权</p></td>
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<td><p>欧式固定行权价-几何平均</p></td>
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<td><p>Kemna and Vorst(1990),蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>欧式固定行权价-算数平均</p></td>
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<td><p>Turnbull and Wakeman(1991),蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>欧式固定行权价-离散算数平均</p></td>
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<td><p>Haug,Haug Margrabe(2003),蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>欧式浮动行权价</p></td>
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<td><p>Henderson and Wojakowski(2001)</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>增强亚式,分段增强亚式</p></td>
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<td><p>复制法,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>亚美式</p></td>
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<td><p>二叉树,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p>二元期权</p></td>
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<td><p>欧式二元</p></td>
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<td><p>BSM,积分法,复制法,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p></p></td>
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<td><p>美式二元-OneTouch</p></td>
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<td><p>Reiner Rubinstein(1991),积分法,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>美式二元-DoubleTouch</p></td>
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<td><p>Pelsser(2000),积分法,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p>障碍期权</p></td>
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<td><p>单障碍期权</p></td>
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<td><p>Reiner Rubinstein(1991),积分法,PDE,二叉树,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>双障碍期权</p></td>
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<td><p>Ikeda and Kuintomo(1992)、Fourier pricing model、积分法、蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p>双鲨期权</p></td>
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<td><p>规则观察</p></td>
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<td><p>组合方式实现,积分法,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p></p></td>
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<td><p>自定义不规则观察</p></td>
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<td><p>积分法,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p>区间累积期权</p></td>
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<td><p>标准区间累积期权</p></td>
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<td><p>组合方式实现,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p>气囊结构</p></td>
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<td></td>
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<td><p>组合方式实现,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-odd"><td><p>雪球期权</p></td>
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<td></td>
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<td><p>积分法,蒙特卡洛模拟</p></td>
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</tr>
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<tr class="row-even"><td><p>凤凰期权</p></td>
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<td></td>
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<td><p>积分法,蒙特卡洛模拟</p></td>
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</tr>
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</tbody>
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