### Option Volatility & Pricing: Advanced Trading Strategies and Techniques, Sheldon Natenberg

Option Volatility & Pricing: Advanced Trading Strategies and Techniques, second edition (1994, Hardcover) by Sheldon Natenberg.

Natenberg not only takes great pains to explain the concept of volatility, in addition to other inputs into an option pricing model, but clearly shows that option pricing isn't the exact science many seem to believe, for the simple reason that we never know if our volatility estimate is correct.