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i demonstrate how put–call parity for options on forwards (or futures) is established; Flashcards Preview
L2 53 Option Markets and Contracts
> i demonstrate how put–call parity for options on forwards (or futures) is established; > Flashcards
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i demonstrate how put–call parity for options on forwards (or futures) is established;
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L2 53 Option Markets and Contracts
Class (10):
A Calculate And Interpret The Prices Of A Synthetic Call Option, Synthetic Put Option, Synthetic Bond, And Synthetic Underlying Stock, And Explain Why An Investor Would Want To Create Such Instruments;
B Calculate And Interpret Prices Of Interest Rate Options And Options On Assets Using One And Two Period Binomial Models;
C Explain And Evaluate The Assumptions Underlying The Black–Scholes–Merton Model;
D Explain How An Option Price, As Represented By The Black–Scholes–Merton Model, Is Affected By A Change In The Value Of Each Of The Inputs;
E Explain The Delta Of An Option, And Demonstrate How It Is Used In Dynamic Hedging;
F Explain The Gamma Effect On An Option’s Delta And How Gamma Can Affect A Delta Hedge;
G Explain The Effect Of The Underlying Asset’s Cash Flows On The Price Of An Option;
H Determine The Historical And Implied Volatilities Of An Underlying Asset;
I Demonstrate How Put–Call Parity For Options On Forwards (Or Futures) Is Established;
J Compare American And European Options On Forwards And Futures, And Identify The Appropriate Pricing Model For European Options.