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Option Pricing and Volatility Books

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Financial Modeling - 2nd Edition, by Simon Benninga and Benjamin Czaczkes Financial Modeling - 2nd Edition
by Simon Benninga and Benjamin Czaczkes 
Black Scholes and Beyond, by Neil A. Chriss Black Scholes and Beyond - Option Pricing Models
by Neil A. Chriss 
The Complete Guide to Option Pricing Formulas, by Espen Gaarder Haug The Complete Guide to Option Pricing Formulas
by Espen Gaarder Haug 
Options, Futures, and Other Derivatives, by John C. Hull Options, Futures, and Other Derivatives
by John C. Hull 
Modelling Fixed Income Securities and Interest Rate Options, by Robert A. Jarrow Modelling Fixed Income Securities and Interest Rate Options
by Robert A. Jarrow 
Volatility New Estimations Techniques for pricing Derivatives, by Robert Jarrow Volatility New Estimations Techniques for pricing Derivatives
by Robert Jarrow 
Futures, Options, and Swaps, by Robert W. Kolb Futures, Options, and Swaps
by Robert W. Kolb 
Option Volatility and Pricing, by Sheldon Natenberg 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.
Interest-Rate Option Models, by Riccardo Rebonato Interest-Rate Option Models - Understanding, Analysing and Using Models for Exotic Interest-Rate Options
by Riccardo Rebonato 
Pricing Financial Instruments, by Domingo Tavella and Curt Randall 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.