| Pricing Equity Options |
| ▪ | Intuitive approach
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| ▪ | Normal distribution: standard deviation and variance
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| ▪ | Case of options on stocks paying no dividend
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| ▪ | Special case: early exercise of the call/put option
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| ▪ | Call-put parity
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| ▪ | Black & Scholes model and its limitations
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| ▪ | Discreet and continuous dividends
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| ▪ | Equity option strategies: butterfly, condor, straddle, call spread
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| ▪ | Practical workshop
. Build a pricing spreadsheet in EXCEL™ using preformatted files |
| Options Book Management |
| ▪ | Volatility (historical/implicit)
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| ▪ | The different methods of estimating dividends
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| ▪ | Option sensitivities (“Greeks”)
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| ▪ | Hierarchy of sensitivities and risks based on option parameters
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| ▪ | Practical workshop
. Calculations of sensitivities in EXCEL™ |
| Analytical Formulas |
| ▪ | Implementing Black & Scholes
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| ▪ | Pricing methods
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| ▪ | Practical workshop
. Build a pricing spreadsheet in EXCEL™ |
| Variance swaps |
| ▪ | Mechanics and uses
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| ▪ | Quotation and trading principles
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| ▪ | Valuing variance swaps
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| ▪ | Static replication |
| Monte Carlo Techniques |
| ▪ | Pricing with the Monte Carlo method
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| ▪ | Applications:
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| . | Asian options (arithmetic)
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| . | Ladder options, worst-of |
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| Sensitivity analysis of every product |
| Tree Option Pricing |
| ▪ | Pricing methods
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| ▪ | Practical workshop
. Build a pricing spreadsheet in EXCEL™ |
