|Book Prospectus and Outline|
This new book gives extremely clear explanations of Black-Scholes option pricing theory, and discusses direct applications of the theory to option trading. The presentation does not go far beyond basic Black-Scholes for three reasons: First, a novice need not go far beyond Black-Scholes to make money in the options markets; Second, all high-level option pricing theory is simply an extension of Black-Scholes; and Third, there already exist many books that look far beyond Black-Scholes without first laying the firm foundation given here. The trading advice does not go far beyond elementary call and put positions because more complex trades are simply combinations of these. The appendix includes Black-Scholes option pricing code for the HP17B, HP19B, and HP12C. An accompanying spreadsheet allows the user to forecast transactions costs for option positions using simple models.
Presentation based on award-winning teaching by Dr. Crack at Indiana University's Kelley School of Business.
Suitable for undergraduate or masters courses in a US business school. Good background reading for financial economics PhD students.
The website has a downloadable spreadsheet that helps forecast option prices. The book contains the password.
Undergraduate or masters. Good background material for financial economics PhDs.
Yes. The author won many teaching awards using this material and this style of presentation.
I have a PhD from MIT. I have papers published (or forthcoming)
in the Journal of Finance, The Journal of Business, The Financial Analysts Journal, The Journal of Applied Finance, and
the Journal of Financial Education. I have
won five teaching awards and been nominated for five others. I
recently headed a quantitative active equity research group in London,
and have now accepted a chair (full professorship) in finance at Otago
University in New Zealand.
My web-based CV.
No other options pricing book presents this mix of theory and practical advice.
Undergarduate and masters students at US business schools, and also anyone who wants to trade options in the US.
1. Introduction to Options (p1)
2. Maths, Stats, and Finance Prerequisites (p17)
3. Option Pricing Foundations (p45)
4. Risk-Neutral Option Pricing (p77)
5. Numerical Option Pricing: Monte Carlo (p91)
6. Numerical Option Pricing: Lattice/Binomial (p103)
7. Partial Differential Equations (p119)
8. Analytical Option Pricing: Black-Scholes (p129)
9. Beyond Black-Scholes (p177)
10. Trading (p201)
A. HP Source Code (p237)
References for Further Research (p247)
Over 80 articles cited in the text.
A full index covering approx 750 items.