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Black-Scholes and Beyond: Option Pricing Models
Free Download Black-Scholes and Beyond: Option Pricing Models
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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 pricing: 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 Beyond: 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.
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Product details
Hardcover: 496 pages
Publisher: McGraw-Hill; 1 edition (September 1, 1996)
Language: English
ISBN-10: 0786310251
ISBN-13: 978-0786310258
Product Dimensions:
6.3 x 1.2 x 9 inches
Shipping Weight: 1.8 pounds (View shipping rates and policies)
Average Customer Review:
4.9 out of 5 stars
16 customer reviews
Amazon Best Sellers Rank:
#555,084 in Books (See Top 100 in Books)
This is one of the best sources on the Black Scholes method and the Binomial Option Pricing model in existence. The style is comprehensible even for non-mathematicians. The author provides excellent insight into this landmark development in mathematical finance. If you want to learn the how and why of Black-Scholes, this is the book to get.
I searched for hours trying to find a resource that would teach options pricing from a pure mathematical point of view. I read several "duds", but this one was a winner. The text focuses on the Black-Scholes theory in pure mathematical terms. This book is geared towards someone who has a solid math background (you are fluent with e^x, binomial trees and basic statistics). This also explained a lot of background concepts in options for the majority of us who don't do this for a living (put-call parity, differences between US and european options, implied volatility and hedging strategies). This book has opened my eyes to a lot of nuances in options pricing.This book is challenging to read. To understand all the specifics, you have to read it slowly like you would a college textbook. Without studying every equation in detail, gaining a general "big picture" understanding of how and why the prices move gives you valuable insight to where a stock is headed. If you can evaluate the "theoretical price" of an option, and gain information explaining why the theoretical price differs substantially from the actual price (in some cases, the two are over 1000% apart), you can develop a more accurate risk-profile for that stock than the public, or profit from the mispricing of options.
This book is extremely well written and very useful to me in that it provided the theoretical basis for option pricing. It also pointed out the theoretical limitations of Black Scholes and went on to discuss some of the later theories to improve option pricing. I obatined an Excel spreadsheet from a guy (Hoadley) in Australia which does all the mathematical details in the book plus a lot more. I'd recommend anyone interested get the book, and if you want to play with the numbers and concepts more you can with the spreadsheet functions. The theory presented in the book is more than enough though for most (I'm an engineer and like to understand why things work the way they do.) This book was one of the few that I made extensive notes in while reading it and tabbed the pages. I'd reveiw more specifics but a friend is presently reading it.
A very friendly introduction to the black scholes model. There are other books out there (Baxter and Rennie) that serve as introductions, but this one has the lowest barrier of entry.
The best book you can buy if you really want to understand Black Scholes and other option pricing models but your're not quite a math wizard. Realistically, to understand these models, you need to understand the fundementals of calculus, statistics and probability, but the author manages to present the material in a way that is understandable without knowing the real heavy math. He glosses over some of the in-depth formal stuff (eg Ito's Lemma), but leaves the reader with at least intuitive sense of where the forumlae come from.
This is one of the best books on quantitative finance and helps readers to develop an intuition of the subject, which is more important as this will help the reader to understand and apply finer points and prepares the base to build further
It helps to have courses in calculus and statistics, but all you really need to understand the math in this book is a good grounding in trigonometry (exponentials, logarhythms, and binomial series). My goal was to understand N[d], a.k.a. the area under the normal distribution representing volatility. Not only is this explained well, but I learned much more about the market. Great book!
This book isn't about teaching you how to place an option trade and profit. Instead, it's about the mathematics behind option pricing model. I am a beginner in options trading and was looking for answers on how options get priced and what parameters affect the price. To be more precise, I was carious to know how the formula looks like. I learned from the book important things like Delta, Gamma, Vega parameters and their impact on pricing options.
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