Option Pricing and Volatility Books |
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Financial Modeling - 2nd Edition
by Simon Benninga and Benjamin Czaczkes [see details | buy at Amazon.com] |
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Black Scholes and Beyond
- Option Pricing Models
by Neil A. Chriss [see details | buy at Amazon.com] |
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The Complete Guide to Option Pricing Formulas
by Espen Gaarder Haug [see details | buy at Amazon.com] |
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Options, Futures, and Other Derivatives
by John C. Hull [see details | buy at Amazon.com] |
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Modelling Fixed Income Securities and Interest Rate Options
by Robert A. Jarrow [see details | buy at Amazon.com] |
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Volatility New Estimations Techniques for pricing Derivatives
by Robert Jarrow [see details | buy at Amazon.com] |
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Futures, Options, and Swaps
by Robert W. Kolb [see details | buy at Amazon.com] |
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Option Volatility and Pricing
- Advanced Trading Strategies and Techniques
by Sheldon Natenberg [see details | buy at Amazon.com] 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 [see details | buy at Amazon.com] |
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Interest-Rate Option Models
- Understanding, Analysing and Using Models for Exotic Interest-Rate Options
by Riccardo Rebonato [see details | buy at Amazon.com] |
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Pricing Financial Instruments
- The Finite Difference Method
by Domingo Tavella and Curt Randall [see details | buy at Amazon.com] |
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Related sites: E-OPTS.com: Equity Options Paper Trading System - Complete paper trading system for options traders. Simulated online brokerage focused on options trading allows traders to practice calls, puts, spreads (many types), covered calls, straddles/strangles, etc. Test strategies in a no risk environment without losing real money. 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. |