Hull: Options, Futures, and Other Derivatives, 2005.
References
Anderson and Danthine: Cross hedging, 1981. Journal of Political Economy 89, pp 1182-1196.
Bakshi, Cao and Chen: Empirical performance of alternative option pricing models, 1997. Journal of Finance 52, pp 2003-2049.
Black and Scholes: The pricing of options and corporate liabilities, 1973. Journal of Political Economy 7, pp 637-654.
Cox, Ingersoll and Ross: The relation between forward and future prices, 1979. Journal of Financial Economics 7, pp 229-263.
Danthine and Donaldson: Intermediate Financial Theory, 2nd edition, 2005. Chapter 12.
Merton: The theory of rational option pricing, 1973. Bell Journal 4, pp 141-183.
Cases on real options will be distributed in class.