Table of Contents:

Definition from Wikipedia External Links Discussion of the model Variations on the model Derivation and solution Tests of the model Computer implementations More Wikipedia links

 

 

Definition from Wikipedia

 

see: http://en.wikipedia.org/wiki/Black-Scholes

 

 

External Links

 

Discussion of the model

• The Black–Scholes Model, global-derivatives.com
• Options pricing using the Black-Scholes Model, Investment Analysts Society of Southern Africa
• The Black–Scholes Option Pricing Model, optiontutor
• Black, Merton, and Scholes: Their work and its consequences, by Ajay Shah
• A Study of Option Pricing Models, Prof. Kevin Rubash
• Black-Scholes in English, risklatte.com

 

 

 

Variations on the model

• Employee Stock Option Valuation, esomanager.com

 

 

 

Derivation and solution

• The risk neutrality derivation of the Black-Scholes Equation, quantnotes.com
• Arbitrage-free pricing derivation of the Black-Scholes Equation, quantnotes.com, or an alternative treatment, Prof. Thayer Watkins
• Solving the Black-Scholes Equation, quantnotes.com
• Solution of the Black–Scholes Equation Using the Green's Function, Prof. Dennis Silverman
• Solution via risk neutral pricing or via the PDE approach using Fourier transforms (includes discussion of other option types), Simon Leger
• Step-by-step derivation of delta from the Black-Scholes equation (site also contains step-by-step derivations of some of the other greeks), quantnotes.com
• Step-by-step solution of the Black-Scholes PDE, planetmath.org.

 

 

 

Tests of the model

• Anomalies in option pricing: the Black–Scholes model revisited, New England Economic Review, March-April, 1996
• Why We Have Never Used the Black-Scholes-Merton Option Pricing Formula, Nassim Taleb and Espen Haug

 

 

 

Computer implementations

• Sourcecode
  • Black–Scholes in Multiple Languages, espenhaug.com
  • VBA sourcecode for Black Scholes and related models, vbnumericalmethods.com
  • VBA sourcecode for Black Scholes and Greeks, global-derivatives.com

• Excel
  • Option Pricing Spreadsheet with documented VBA, OptionTradingTips.com
  • Excel spreadsheet with VBA sourcecode, quantnotes.com
  • Excel implementation and tutorial, researchkitchen.co.uk

• Real Time
  • Surface Plots of Black-Scholes Greeks, Chris Murray
  • Real-time calculator of Call and Put Option prices when the underlying follows a Mean-Reverting Geometric Brownian Motion, by Razvan Pascalau, Univ. of Alabama
  • Online real-time Black & Scholes calculator, including all greeks, sitmo.com

 

 

More Wikipedia links

 

Derivatives market
Derivative (finance)
Options	Terms: Strike price · Expiration · Open interest · Pin risk Vanilla options: Option styles · Call · Put · Warrants · Fixed income · Employee stock option · FX Exotic options: Asian · Lookback · Barrier · Binary · Swaption · Mountain range Options strategies: Covered call · Naked put · Collar · Straddle · Strangle · Butterfly Options spreads: Bull spread · Bear spread · Calendar spread · Vertical spread · Debit spread · Credit spread Valuation of options: Moneyness · Option time value · Put-call parity · Black-Scholes · Black · Binomial
Swaps	Interest rate swap · Total return swap · Equity swap · Credit default swap · Forex swap · Currency swap · Constant maturity swap · Basis swap · Volatility swap · Variance swap
Other derivatives	Credit derivative · Equity derivative · Interest rate derivative · Inflation derivatives