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l2 53 option markets and contracts

This class was created by Brainscape user Steven Popovic. Visit their profile to learn more about the creator.

By: Steven Popovic
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Decks in this 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;
No deck description has yet been added by the author.
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b calculate and interpret prices of interest rate options and options on assets using one- and two-period binomial models;
No deck description has yet been added by the author.
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c explain and evaluate the assumptions underlying the Black–Scholes–Merton model;
No deck description has yet been added by the author.
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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;
No deck description has yet been added by the author.
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e explain the delta of an option, and demonstrate how it is used in dynamic hedging;
No deck description has yet been added by the author.
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f explain the gamma effect on an option’s delta and how gamma can affect a delta hedge;
No deck description has yet been added by the author.
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g explain the effect of the underlying asset’s cash flows on the price of an option;
No deck description has yet been added by the author.
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h determine the historical and implied volatilities of an underlying asset;
No deck description has yet been added by the author.
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i demonstrate how put–call parity for options on forwards (or futures) is established;
No deck description has yet been added by the author.
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j compare American and European options on forwards and futures, and identify the appropriate pricing model for European options.
No deck description has yet been added by the author.
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l2 53 option markets and contracts

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