Black-Scholes and Beyond: Option Pricing Models

by Neil A. Chriss, Ira Kawaller (Foreword)

An unprecedented book on option pricing! For the first time, the basics on modern option pricing are explained ``from scratch'' using only minimal mathematics. Market practitioners and students alike will learn how and why the Black-Scholes equation works, and what other new methods have been developed that build on the success of Black-Shcoles. The Cox-Ross-Rubinstein binomial trees are discussed, as well as two recent theories of option the Derman-Kani theory on implied volatility trees and Mark Rubinstein's implied binomial trees. Black-Scholes and Beyond will not only help the reader gain a solid understanding of the Balck-Scholes formula, but will also bring the reader up to date by detailing current theoretical developments from Wall Street. Furthermore, the author expands upon existing research and adds his own new approaches to modern option pricing theory. Among the topics covered in Black-Scholes and detailed discussions of pricing and hedging options; volatility smiles and how to price options ``in the presence of the smile''; complete explanation on pricing barrier options.

Genres: Finance

496 pages, Hardcover

First published September 1, 1996

Reviews

[Ethan Drower · Rating 5 out of 5]

Math heavy and incredibly explanatory.

[Kevin Kerr · Rating 5 out of 5]

An excellent book, always has been, novices and experts can re read this many times and learn something new, even some of us as seasoned options trading professionals.

[ALFREDO BALLARINI]

Indispensabile per comprendere la formula di Black & Scholes
Essential to understand the formula of Black & Scholes