Black-Scholes and Beyond: Option Pricing Models | Neil A. Chriss

Black-Scholes and Beyond: Option Pricing Models | Neil A. Chriss | Excellent book on option pricing

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Black-Scholes and ...

	Black-Scholes and Beyond: Option Pricing Models Neil A. Chriss McGraw-Hill, 1996 - 496 pages average customer review:based on 16 reviews view larger image
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highly recommended

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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excellent mathematical approach to options pricing

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.

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Excellent book on option pricing

This book was well written. It is easy to understand. I believe that it is especially helpful for anyone who wants to know more about option pricing.

Great Book

I loved the way the author has started from Basic principles on Options and Mathematical concepts. This makes it a good option for newbies.

A Really Great Book

Not being mathematically inclined, I had read a number of books over the years to understand equity derivative instruments such as options. Many of the other books out there can be either too mathematical or too "lite". This book provides the tools to clearly understand the underlying mathematics and models.
Like anything else, it requires some (limited) investment in time but pays this back. A book I recommend above all others to new colleagues.
Extremely useful for valuing options, including employee options. The introductory mathematical material and binomial model sections are especially valuable. While subject to important assumptions with associated uncertainty, the tools in this books are also helpful in understanding a number of more general corporate finance areas including private equity, venture capital, etc.
Very highly recommended. Go raibh mile maith aige.

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Great book for non-PHD types

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.

reviews: page 1, 2, 3, 4

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