Standard and Exotic Equity Options: Pricing and Book Management

Pricing Equity Options
  • Intuitive approach
  • Normal distribution: standard deviation and variance
  • Equity options without dividend
  • Special case: early exercise of the call/put option
  • Call-put parity
  • Black & Scholes model and its limitations
  • Discreet and continuous dividends
  • Equity option strategies: butterfly, condor, straddle, call spread
  • Practical workshop
  • Build a pricing spreadsheet in EXCEL™
Options Book Management
  • Volatility (historical/implied)
  • The various methods of estimating dividends
  • Option sensitivities (“Greeks”)
  • Practical workshop
  • Calculations of sensitivities in EXCEL™
Analytical Formulas
  • Implementing the Black & Scholes pricing methodology
  • Pricing methods
  • Practical workshop
  • Build a pricing spreadsheet in EXCEL™
Variance swaps
  • Mechanics and uses
  • Trading conventions
  • Mark-to-market of variance swaps
  • Static replication
Monte Carlo Techniques
  • Pricing with the Monte Carlo method
  • Practical workshop
  • Asian options (arithmetic)
  • Lookback options
  • Resetting options
  • Barrier options
  • Ladder options, worst-off
Analysis of the Sensitivities of Every Product
Tree Option Pricing
  • Pricing methods
  • Practical workshop
  • Build a pricing spreadsheet in EXCEL™

  • Master the valorisation of equity options with Black & Scholes
  • Understand the basic principles of valorisation using the Monte Carlo method or binomial trees
  • Master the practical applications of the essential principles of the stochastic probability models
  • Master the various exotic option pricing methods
  • Grasp the parameters influencing exotic option pricing
  • Adapt pricing methods to all exotic options
  • Know the variance swap market
  • Step-by-step and exhaustive approach to pricing models for standard and exotic equity options.
  • Systematic use of EXCEL™
  • Fund managers
  • Junior traders
  • Sales
  • Brokers
  • Equity origination and primary market professionals
  • Finance departments
  • Risk managers
  • Support staff: IT, middle office, audit, internal controls, senior back office
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