Applied Derivatives: Options, Futures and Swaps (ISBN 0631215905)

Book Description:
Based on groundbreaking work that led to the development of the "Binomial Option Pricing Model" in 1979, this book is the culmination of 18 years of research in option pricing theory.

An MBA's guide to Options:
This is a very well written book from an MBA's perspective. In other words, the emphasis is more on intuition rather than the underlying mathematics of option pricing. The book in fact starts with the Binomial Tree approach to option pricing - a method that is much more intuitive and powerful compared to Black-Scholes. The author walks you through certain arbitrage relationships before developing the binomial tree approach. Black-Scholes is introduced once you have obtained a thorough understanding of the binomial tree approach. There is a decent treatment of Forwards, Futures and Swaps and a very elegant proof for how CAPM weaves into option pricing. I strongly recommend the book to anyone starting out in option pricing. Once you have developed sufficient competence with trees and formulae, you can move to Hull's book which is much more technical but provides robust treatment of exotic options.