In this site you can find some useful resources on the history of option pricing. If you have any suggestions (e.g., papers, books, datasets) please send me an email at gdotsis (at) econ(dot)uoa(dot)gr. Some useful background on the history of option pricing is available here and here.
Data sets
One-month call and put option prices for the period 1873-1875 are available in the Commercial and Financial Chronicle , example (see page 687). Mixxon (2009) provides a thorough analysis of this dataset. Stock price data from the 19th century are available in the Historical Financial Research Data at Yale University.
19th Century Option Trading Terminology (in English, French and German) by Leonard R. Higgins.
Books
Joseph de la Vega, 1688. Confusion de Confusiones, download. English translation.
Equtiy option trading in the Amsterdam brouse in the 17th century. Description of conversion strategies based on the put-call parity (see page 47 in the original version and page 8 in the English translation).Pierre-Joseph Proudhon, 1857. Manuel du Spéculateur à la Bourse, 5th ed., Paris: Librairie de Barnier Frères. download
Stock and option trading manual written by the famous anarchist philosopher Proudhon. "Les ventes et achats à prime engagent le vendeur sans engager l'acheteur" (page 85).Henri Lefèvre, 1873. Physiologie et mécanique sociales, Journal des Actuaires Français 2. download
Put-call parity and profit charts for various option positions.James Moser, 1875. Die Lehre von den Zeitgeschäften, Berlin: Julius Springer. download
Put-call parity and profit charts for various option positions.Charles Castelli, 1877. The Theory of “Options” in Stocks and Shares, F. Mathieson, London. download
Defintions of call and put options and ATMF straddles. Strategies with "complicated options" and option spreads.Leonard R. Higgins, 1896. The Put-and-Call, Effingham Wilson. download
Sophisticated methods for pricing call and put options based on ATMF straddles. An explicit mathematical formulation of the put-call parity.See Higgins’s patent calculating triangle (page 76). A mechanical instrument to calculate instantaneously the English equivalent of New York prices at any rate of exchange between $4.80 and $4.70. “Mr. Higgins had it brought to his mind in thinking over the second proposition of the sixth book of Euclid”.Henry C. Emery, 1896. Speculation on the Stock and Produce Exchanges of the United States, New York. download
Probably the first book that mentions the story of Thales in Aristotle's Politics as an example of option trading in antiquity (see page 33).Samuel A. Nelson, 1904. The A B C of Options and Arbitrage. The Wall Street Library. download
Arbitrage strategies using options, examples of delta neutral positions.Louis Bachelier, 1900. Théorie de la Spéculation. Annales Scientiques de l’Ecole Normale Superieure vol. 3, 17, 21-86, download. English translation.
Vinzenz Bronzin, 1908. Theorie der Pramiengeschafte. Verlag Franz Deticke, Leipzig und Wien.download
Henry Deutsch, 1910. Arbitrage in Bullion, Coins, Bills, Stocks, Shares and Options, Effingham Wilson. download
Examples of option trading (see chapter IV).Papers
Black, F., and Scholes, M. 1973. The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81, 637-659. download
Cardoso, J.L. 2002. Confusion de Confusiones: Ethics and Options on Seventeenth-Century Stock Exchange Markets. Financial History Review, 109-123.download
Chambers, D., and Saleuddin, R. 2020, Commodity Option Pricing Efficiency Before Black, Scholes, and Merton. Economic History Review 73, 540-564. download
Dotsis, G. 2020. Option Pricing Methods in the City of London During the Late 19th Century, Quantitative Finance 20, 709-719. download
Hafner, W., and Zimmermann, H. 2007. Amazing Discovery: Vincenz Bronzin’s Option Pricing Models. Journal of Banking and Finance 31, 531–546. download
Hafner, W., and Zimmermann, H. 2009. Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal. Springer Verlag.download
Haug, E. 2009. The History of Option Pricing and Hedging. In: Hafner, W., and Zimmermann, H. (Eds.), Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal. Springer Verla, 471-486. download
Kairys, J.P., and Valerio, N. 1997. The Market for Equity Options in the 1870s. Journal of Finance 52, 1707–1723. download
Knoll, M. 2008. The Ancient Roots of Modern Financial Innovation: The Early History of Regulatory Arbitrage. Oregon Law Review 87, 93–116. download
Makropoulou, V., and Markellos, R.N.2005. What is the Fair Rent Thales Should Have Paid?,HERCMA Proceedings . download
Marco, P. N. and Van Malle-Sabouret, C. 2007. East India Bonds, 1718–1763: Early Exotic Derivatives and London Market Efficiency. European Review of Economic History 11, 367–94. download
Marcuzzo, M.C., and Sanfilippo, E. 2016. Keynes and the Interwar Commodity Option Market. Cambridge Journal of Economics 40, 327–48. download
Mixon, S. 2008. The Crisis of 1873: Perspectives from Multiple Asset Classes. Journal of Economic History 68, 722-757. download
Mixon, S. 2009. Option Markets and Implied Volatility: Past Versus Present. Journal of Financial Economics 94, 171-191. download
Moore, L., and Juh, S. 2006. Derivative Pricing 60 Years Before Black–Scholes: Evidence from the Johannesburg Stock Exchange. Journal of Finance 61, 3069–3098. download
Murphy, A.L. 2009. Trading Options before Black-Scholes: A Study of the Market in Late Seventeenth Century London. Economic History Review 62, 8-30. download
Poitras, G. 2009. The Early History of Option Contracts. In: Hafner, W., and Zimmermann, H. (Eds.), Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal. Springer Verla. download
Shea, G.S. 2007. Understanding Financial Derivatives During the South Sea Bubble: The Case of the South Sea Subscription Shares, Oxford Economic Papers 59, 72-104 . download
Sotiropoulos, D., and Rutterford, J. 2014. Performativity and Financial Markets: Option Pricing in the Late 19th Century. Innovation, Knowledge and Development Research Centre, The Open University. download
Jovanovic, F. 2006. Economic Instruments and Theory in the Construction of Henri Lefèvre’s Science of the Stock Market. In Geoffrey Poitras (ed.) Pioneers of Financial Economics: Volume 1, Cheltenham: Edward Elgar. download
Weber, E.J. 2009. A Short History of Derivative Security Markets. In Hafner, W., Zimmermann, H. (Eds.), Vinzenz Bronzin’s Option Pricing Models. Exposition and Appraisal. Springer Verla. download