Option Pricing Theory
Black–Scholes, local and stochastic volatility models.
Option Pricing Theory. Black–Scholes, local and stochastic volatility models.
Foundations and canonical references
The standard treatments of option pricing theory approach the subject from complementary angles. Shreve, Stochastic Calculus for Finance II: Continuous-Time Models (2004) is the anchor reference for the subject and lays out the core definitions, theorems, and worked examples that practitioners return to.
Supporting and adjacent work
A number of supporting contributions sharpen specific aspects of option pricing theory or connect it to neighbouring problems. The pricing of options and corporate liabilities (Black et al., 1973) contributes to this area as one of the supporting references that inform current practice.
Open methodological questions for option pricing theory include sharpening the bridges between foundational theory and computational practice, extending classical results to broader or more structured settings, and integrating the techniques surveyed above with adjacent mathematical disciplines. The references listed in this page are the entry points that current work builds on.
Prerequisites
Sources
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- textbook · primary · 2004Stochastic Calculus for Finance II: Continuous-Time Modelsshreve-2004
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