Th is paper f irst in t roduces the em ergence and developm en t of op t ion p ricing theo ry, then gives a mo re detailed descrip t ion of the theo ret ical and emp irical researches on the m ethod. In part icu lar, w e focu s on the such m ethods as determ in ist ic arb it rage, E2arb it rage and in terval p ricing, w ith app licat ion s to bo th comp lete m arket s and incomp lete m arket s. F inally, condit ion s and characterist ics of the variou s op t ion p ricing m ethods are discu ssed.