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Books on the topic 'Black and Scholes options pricing model'

Author: Grafiati

Published: 3 June 2025

Last updated: 31 July 2025

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1

Chriss, Neil. Black-Scholes and beyond: Option pricing models. Irwin, 1997.

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2

Chriss, Neil. Black-Scholes and beyond: Option pricing models. McGraw-Hill, 1997.

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3

Dunphy, Christina. The pricing of options by method of the Black Scholes model. Oxford Brookes University, 1999.

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4

Park, Hun Y. A comparison of a random variance model and the Black-Scholes model of pricing long-term European options. College of Commerce and Business Administration, University of Illinois at Urbana-Champaign, 1991.

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5

Hallerbach, Winfried G. A simple approximation to the normal distribution function with an application to the Black & Scholes option pricing model. Rotterdam Institute for Business Economic Studies, Erasmus Universiteit, 1994.

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6

Chriss, Neil. The Black-Scholes and beyond interactive toolkit: A step-by-step guide to in-depth option pricing models. McGraw-Hill, 1997.

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7

Chappell, David. On the derivation and solution of the Black-Scholes option pricing model: A step by step guide. University of Sheffield. School of Management and Economic Studies, 1987.

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8

Capiński, Marek. The Black-Scholes model. Cambridge University Press, 2013.

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9

Nielsen, Lars Tyge. Understanding N(d1) and N(d2): Risk-adjusted probabilities in the Black-Scholes model. INSEAD, 1992.

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10

Ursone, Pierino. How to calculate options prices and their greeks: Exploring the black scholes model from delta to vega. Wiley, 2015.

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11

Schoutens, Wim. Lévy processes in finance: Pricing financial derivatives. J. Wiley, 2003.

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12

Butler, Cormac, Fairplace, and D. C. Black-Scholes Option Pricing Model. Financial Times Prentice Hall, 1998.

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13

Chriss, Neil. Black-Scholes and Beyond: Option Pricing Models. McGraw-Hill, 1996.

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14

Chesney, Marc. Pricing European currency options: A comparision of modified Black-Scholes model and a random variance model. 1989.

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15

Pricing the future: Finance, physics, and the 300-year journey to the Black-Scholes equation : a story of genius and discovery. Basic Books, 2011.

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16

Pricing the future: Finance, physics, and the 300-year journey to the Black-Scholes equation : a story of genius and discovery. Basic Books, 2011.

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17

Crack, Timothy Falcon. Basic Black-Scholes: Option Pricing and Trading. Timothy Crack, 2021.

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18

Gershon, David, Alexander Lipton, Mathieu Rosenbaum, and Zvi Wiener. Options — 45 years since the Publication of the Black–Scholes–Merton Model. WORLD SCIENTIFIC, 2022. http://dx.doi.org/10.1142/12822.

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19

Option pricing: Black-scholes made easy : a visual way to understand stock options, option prices, and stock-market volatility. Wiley, 2001.

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20

Ursone, Pierino. How to Calculate Options Prices and Their Greeks: Exploring the Black Scholes Model from Delta to Vega. Wiley & Sons, Incorporated, John, 2015.

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21

Ursone, Pierino. How to Calculate Options Prices and Their Greeks: Exploring the Black Scholes Model from Delta to Vega. Wiley & Sons, Limited, John, 2015.

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22

Ursone, Pierino. How to Calculate Options Prices and Their Greeks: Exploring the Black Scholes Model from Delta to Vega. Wiley & Sons, Incorporated, John, 2015.

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23

Lipton, Alexander, David Gershon, Zvi Wiener, and Mathieu Rosenbaum. Options - 45 Years since the Publication of the Black-Scholes-Merton Model: The Gershon Fintech Center Conference. World Scientific Publishing Co Pte Ltd, 2022.

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24

Back, Kerry E. Option Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0016.

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Options, option portfolios, put‐call parity, and option bounds are explained. Changes of numeraire (measure) are discussed, and the Black‐Scholes formula is derived. The fundamental PDE for an option value is explained. The option greeks are defined, and delta hedging is explained. The smooth pasting condition for valuing an American option is explained.

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25

Schoutens, Wim. Lévy Processes in Finance: Pricing Financial Derivatives. Wiley & Sons, Incorporated, John, 2003.

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26

Back, Kerry E. Forwards, Futures, and More Option Pricing. Oxford University Press, 2017. http://dx.doi.org/10.1093/acprof:oso/9780190241148.003.0017.

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Forward measures are defined. Forward and futures contracts are explained. The spot‐forward parity formula is derived. A forward price is a martingale under the forward measure. A futures price is a martingale under a risk neutral probability. Forward prices equal futures prices when interest rates are nonrandom. The expectations hypothesis is explained. The option pricing formulas of Margabe (exchange options), Black (options on forwards), and Merton (random interest rates) are derived. Implied volatilities and local volatility models are explained. Heston’s stochastic volatility model is der

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27

Humphreys, Paul. Computational Economics. Edited by Don Ross and Harold Kincaid. Oxford University Press, 2009. http://dx.doi.org/10.1093/oxfordhb/9780195189254.003.0013.

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Computational economics is a relatively new research technique in economics, but it is inexorably taking its place alongside the more traditional methods of general theory, abstract modeling, data analysis, and the more recent experimental economics. Perhaps because of its relative newness, the term computational economics currently has no determinate meaning. In contemporary use, it refers to a heterogeneous cluster of techniques implemented on concrete digital computers ranging from the numerical solution of the Black-Scholes partial differential equation for pricing options through automate

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