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?

  • $\begingroup$ Asian options are very often priced using moment matching. $\endgroup$ – Valometrics.com May 23 at 19:06

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.

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