3/20 Would someone please recommend a good book on
Black Scholes Option Pricing Model?
\-who is asking?
\_ John C. Hull's book _Options, Futures, and Other Derivatives_
does a pretty good job - android
\_ duffie's book also does the job, but hull's is better. -fab
\_ Beware that some of the Black Scholes formulas have been
shown to be inaccurate. Look for Robert C. Merton's
\-this is a deep philososphical matter. --psb
books as well. I believe he actually did the math for
Black/Scholes, despite Merton's objections about the
errors in some of Black/Scholes eqns. I think
Merton's book is called "continuous time finance", 92.
\-David Cox [the finance one of from stanford, not the math
guy from i think columbia] has some fine mathematical
finance books. --psb
\-i know i am going to get it for this, but i am having
dinner on sat with a friend of the family who was invited to
merrill-lynch by scholes. if you want me to ask him a specific
question, send me some mail asap. --psb |