Option Pricing and Volatility Books
See our volatility forecasts for 100 large-cap stocks.
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Financial Modeling - 2nd Edition
by Simon Benninga and Benjamin Czaczkes |
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Black Scholes and Beyond
- Option Pricing Models
by Neil A. Chriss |
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The Complete Guide to Option Pricing Formulas
by Espen Gaarder Haug |
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Options, Futures, and Other Derivatives
by John C. Hull |
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Modelling Fixed Income Securities and Interest Rate Options
by Robert A. Jarrow |
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Volatility New Estimations Techniques for pricing Derivatives
by Robert Jarrow |
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Futures, Options, and Swaps
by Robert W. Kolb |
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Option Volatility and Pricing
- Advanced Trading Strategies and Techniques
by Sheldon Natenberg Chapters: 1. The language of options. 2. Elementary strategies. 3. Introduction to theoretical pricing models. 4. Volatility. 5. Using an option's theoretical value. 5. Option values and changing market conditions. 7. Introduction to spreading. 8. Volatility spreads. 9. Risk considerations. 10. Bull and bear spreads. 11. Option arbitrage. 12. Early excercise of American options. 13. Hedging with options. 14. Volatility revisited. 15. Stock and index futures and options. 16. Intermarket spreading. 17. Position analysis. 18. Models and the real world. Appendices: A. A glossary of option and related terminology. B. The mathematics of option pricing. C. Characteristics of volatility spreads. D. What's the right stragegy? E. Synthetic and arbitrage relationships. F. Recommended reading. |
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Volatility in the Capital Markets
- State of the Art Techniques for Modeling, Managing and Trading Volatility
by Israel Nelken |
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Interest-Rate Option Models
- Understanding, Analysing and Using Models for Exotic Interest-Rate Options
by Riccardo Rebonato |
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Pricing Financial Instruments
- The Finite Difference Method
by Domingo Tavella and Curt Randall |
Related sites:
Black-Scholes - Option Pricing Models - This paper examines the evolution of option pricing models leading up to and beyond the Black-Scholes model.
Chicago Board Options Exchange - Lists and trades options on equities, indexes, and futures. Free options quotes, market data, and trading tools, including their new feature for virtual paper trading of options.