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Vanilla Options References

Barone-Adesi, G., and R.E. Whaley, 1987, "Efficient analytic approximation of American option values", Journal of Finance, 42(2), 1-20.

Beni L., and P. Schultz, 1990, "Pricing Warrants: An Empirical Study of the Black-Scholes Model and Its Alternatives", Journal of Finance, 44(4), 1181-1200.

Black, F., 1976, "The Pricing of Commodity Contracts", Journal of Financial Economics, 3, 167-179.

Black, F. & M. Scholes, 1973, "The Pricing of Options and Corporate Liabilities", Journal of Political Economy, 81, 637-659.

Brown, P.J., 1998, Bond Markets: Structures and Yield Calculations, American Management Association, New York.

Clewlow L., and C. Strickland, 1999, Implementing Derivative Models, John Wiley & Sons, England.

Cox, J., S. Ross, and M. Rubenstein, 1979, "Option Pricing: A Simplified Approach", Journal of Financial Economics, 7, 229-264.

DeRosa D.F., 1998, Currency Derivatives: Pricing Theory, Exotic Options, and Hedging Applications, John Wiley & Sons, Canada.

 

Garman, M.B., and S.W. Kohlhagen, 1983, "Foreign Currency Option Values", Journal of International Money and Finance, 2, 231-237.

Geske, R., 1979, "A Note on an Analytic Valuation Formula for Unprotected American Call Options on Stocks with Known Dividends", Journal of Financial Economics, 7, 375-380.

Geske, R., 1981, "Comments on Whaley's Note", Journal of Financial Economics, 9, 213-215.

Haug, E.G, 1998, The Complete Guide to Option Pricing Formulas, McGraw-Hill, New York.

Hull, J.C., 2002, Fundamentals of Futures and Options Pricing, Prentice Hall, New Jersey, 4th Edition.

Hull, J.C., 2000, Options, Futures, & Other Derivatives, Prentice Hall, New Jersey, 4th Edition.

Manaster, S. and G. Koehler, 1982, "The Calculation of Implied Variances from the Black-Scholes Model: A Note", Journal of Finance, 37, 227-230.

Merton R.C., 1973, "Theory of Rational Option Pricing", Bell Journal of Economics and Management Science, 4, 141-183.

Press W.H., et al, 1996, Numerical Recipes in C - the art of scientific programming, Cambridge University Press, 2nd edition.

Roll, R., 1977, "An Analytical Formula for Unprotected American Call Options on Stocks with Known Dividends", Journal of Financial Economics, 5, 251-258.

Steiner R., 1998, Mastering Financial Calculations: A step by step guide to the mathematics of financial instruments, Pitman Publishing, London.

Trigeorgis L., 1991, "A log-transformed binomial numerical analysis method for valuing complex multi-option investments", Journal of Financial and Quantitative Analysis, 26, 309-326.

Whaley, R., 1981, "On the Valuation of American Call Options on Stocks with Known Dividends", Journal of Financial Economics", 9, 207-211.

See Also

Bond Pricing References

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