Planeamento
Aulas
1. Introduction to Options
- Types of options
- Options positions and payoffs
- Specification of options
- Moneyness; intrinsic and time value
- OTC vs. exchange-traded markets
2. Properties of Stock Options
- Factors affecting option prices
- Upper and lower bounds for option prices
2. Properties of Stock Options (continued)
- Upper and lower bounds for option prices
- Put-call parity
- Early exercise
- Effect of dividends
3. Trading Strategies
- Hedging strategies
3. Trading Strategies (continued)
- Speculative strategies
3. Trading Strategies (continued)
- Speculative strategies
4. Binomial Option Pricing Model
- One-period model: replicating portfolio and risk-neutral valuation
4. Binomial Option Pricing Model (continued)
- Multi-period model
- Model for dividend-paying underlying assets
4. Binomial Option Pricing Model (continued)
- Valuation of American options
5. Black-Scholes Option Pricing Model
- Risk-neutral valuation
5. Black-Scholes Option Pricing Model (continued)
- Black-Scholes partial differential equation: riskless and replication portfolios
- Volatility estimation: historical vs. Implied
6. Extensions to the Black-Scholes Model
- Stocks with discrete dividends and Black’s approximation
- Assets with dividend yield (Merton model): stock indices and currencies
6. Extensions to the Black-Scholes Model (continued)
- Futures options (Black’s model)
7. Greeks and Option Hedging
- Delta, gamma, theta, vega, rho
7. Greeks and Option Hedging (continued)
- Delta-hedging
7. Greeks and Option Hedging (continued)
- Delta-gama and delta-gama-vega hedging
8. Exotic Options
- Binary options
- Barrier options
9. Structured Products
- Creation and valuation of structured products
9. Structured Products (continued)
- Creation and valuation of structured products
9. Structured Products (continued)
- Creation and valuation of structured products