Valuation of various options is of great practical importance in the development of strategies in the world financial and stock markets. To evaluate options created a complex mathematical theory, which is devoted to dozens of books and thousands of journal articles. Nobel prize winners in Economics were Samuelson, Merton, Scholes, who made a fundamental contribution to the creation of this mathematical theory. This mathematical theory is a unique tool for calculating option prices. This paper provides an overview of the main methods of options valuation. The presentation is conducted on the example of stock options, but similar methods are used for calculating the prices of other options, as well as for calculating the prices of futures, swaps, bonds with the right to buy and a number of other securities.