Derivatives: Pricing Models
"Modern option pricing techniques are often considered among the most mathematically complex of all the applied areas of finance." As well as comparing pricing models for derivatives, this page contains a calculator to help illustrate the theories.
2. NumaWeb: Option Volatility: A Non-Technical Guide
Brief discussion on the topics of historic volatility, implied volatility and forecast volatility as used in the valuation of options.
3. Wall Street Models
Interactive models for investment and trading of stocks, bonds, futures, and options. Links to other websites on Wall Street analytics and daily updates of Wall Street inside stories.
4. WoPEc: Testing Options Pricing Models
From this site you can download the discussion paper published by the National Bureau of Economic Research. Fee for download.
Derivatives: Pricing Models
Black-Scholes
1. Derivative Pricing Theories: Black-SholesA detailed explanation of the Black-Scholes theory of derivative pricing, including the formulae necessary to calculate expected returns. A brief history of the evolution of the theory is also included.
2. DerivativesModels.com:
Analytic Black-Scholes model, analytic jump-diffusion model, and forward-start option model.
3. In-The-Money: Black-Scholes Formula
Explanation of the formula and links to related sites.
4. Numa Financial Systems: Numa Option Calculator
An options calculator based on the Black-Scholes model of derivatives pricing.
5. PBS NOVA Online: Trillion Dollar Bet
Story of the invention of the Black-Scholes Formula, a mathematical Holy Grail that forever altered the world of finance and earned its creators the 1997 Nobel Prize in Economics.
6. Pricing Options Online
For developers and business people. Designed as a project for pricing options and derivatives with javascript. Black-Scholes, European option with known dividends, option on option, standard and double barrier option, and binominal and trinomial tree.
7. Royal Swedish Academy of Sciences: Background Material on the 1997 Nobel Prize in Economic Sciences
Detailed outline of Merton and Scholes's new method to determine the value of derivatives.
8. Spreadsheet Modeling: Black Scholes Options Pricing: Dynamic Chart
Step-by-step guide to creating a dynamic chart for Black-Scholes option pricing.
9. The Investment FAQ: Black-Scholes Option Pricing Model
The Black and Scholes Option Pricing Model is an approach for calculating the value of a stock option. This article presents some detail about the pricing model. (1/5/01)
Derivatives: Binomial Pricing Theory
1. Binomial Option Pricing Model"The binomial model ... is based on the simplification that over a single period (of possibly very short duration), the underlying asset can only move from its current price to two possible levels." (1998)
2. Brunel University: Binomial Tree Option Pricing
Uses an applet that implements the Binomial Tree Option Pricing technique, and gives a short outline of the mathematical theory behind the method.
3. Derivative Pricing Theories: Binomial Pricing Theory
Detailed explanation of the binomial pricing theory of derivatives as it applies to European and American options with and without dividends. Includes binomial pricing tree instructions and formulae.
4. Options Strategy Analysis Tools
Free software tools for serious options investors, plus explanatory information. Black-Scholes pricing, binomial and trinomial pricing, barrier option pricing, and dividend impact analysis.
5. Pricing Options Online
For developers and business people. Designed as a project for pricing options and derivatives with javascript. Black-Scholes, European option with known dividends, option on option, standard and double barrier option, and binominal and trinomial tree.
6. U of C at Berkeley: Haas School of Business: On the Relation Between Binomial and Trinomial Option Pricing Models
Paper shows that the binomial option pricing model, parameterized, is a special case of the explicit finite difference method. (04/00) PDF format requires free Adobe Acrobat reader.