Valuation of Options

This book demonstrates the inadequacy of simple arbitrage-free strategy in pricing options and discusses the intricacies of the two best known option pricing models—Bionomial Model and Black–Scholes Model. It covers- Variables influencing option value; Binomial Model for European and American options; Black-Scholes Model: stochastic processes, Ito’s lemma and Black- Scholes formulae; the ‘Greeks’— Delta, Gamma, Vega, Theta, Rho—in the Black-Scholes formula.

Preface
Acknowledgements

Chapter 1 : Valuation of Options

Appendix 1 : Derivation of Delta for the Black-Scholes Model
Appendix 2 : Sources & References
Appendix 3 : Solutions to Test Your Concepts
Appendix 4 : Solutions to End-of-Chapter
Exercises