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Black Scholes and Beyond Option Pricing Models
ISBN: 0786310251     Date Published: 1996-09-01     Author(s): Neil A. Chriss
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Hardcover
McGraw-Hill
496 Pages
 
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06/20/2013 01:30:53
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Editorial Review - Book Description:
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.
 
Customer Review:
Total Reviews: (17)
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34 of 37 People found the following review helpful.

excellent intuitive exposition of complex subjects, November 22, 1998 Bydamask@lucent.com (NJ, USA) - See all my reviews This review is from: Black-Scholes and Beyond: Option Pricing Models (Hardcover) Neil Chriss' book, "Black-Scholes and Beyond" is the first book that I have found that clearly presents the fundamental thinking behind the Black-Scholes formula and all of the underpinning assumptions. I have looked long and hard for a book that can present to an interested and mathematically-adept reader a clear picture of the origin of the BS-formula. Books like Hull are poorly written and confusing to the uninitiated. Chriss, however, presents a logical case for the derivation of the BS-formula which has left me with an understanding of its ingredients and limitations. To flesh-out the BS limitations, Chriss presents 6 chapters on pricing options on Binomial Trees. Chriss' exposition presents trees as an alternative and powerful tool for the valuation of European, American, and exotic options. Trees are treated as a superset of tools to Black-Scholes and moreover as field of their own. The extensive bibliography has helped me track down journal articles on...
 
16 of 17 People found the following review helpful.

Logical progression of ideas in a lucid style, May 11, 2002 ByJohn P. Rickert - See all my reviews This review is from: Black-Scholes and Beyond: Option Pricing Models (Hardcover) I picked up this book as additional reading for an actuarial exam on investments, in hopes of getting a better and more intuitive understanding of the Black-Scholes Formula. This book develops ideas in a clear, natural, intuitive sequence. I particularly commend the author for a lucid and agreeable style. I was expecting a book on this kind of subject to be dry and heavy-going, but instead what I found was a very good teacher guiding me through the subject. It should be mentioned that the development of the formula entirely from scratch is not in this book, as that would basically require stochastic calculus or other techniques beyond the scope of the book. Even so, he does explain the rationale behind the formula as well as related concepts such as hedging away risk and self-financing strategies. He gives the appropriate versions of the Black-Scholes Formula for stocks with continuous or lumpy dividends and, of course, talks about put-call parity for European options. There is...
 
23 of 27 People found the following review helpful.

The book has a unique approach to Black-Scholes formula, January 7, 1999 By A Customer This review is from: Black-Scholes and Beyond: Option Pricing Models (Hardcover) This book well explains the probability and statistical methods used in Black-Scholes formula. As we know that Black-Scholes formula has several approaches to the evaluation of an option, and the approach taken in this book was vague. In this book not all the mathimatical elements of the Black-Scholes formula was explained. I would like to emphasize that this book would not help to understand the Black-Scholes formula completely.
 
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