Put-call Parity
Use put-call parity to determine the relationship between prices of European put and call options and to identify arbitrage opportunities
Binomial Model
Calculate the value of European and American options using the binomial model
Black-Scholes option-pricing model
Calculate the value of European options using the Black-Scholes option-pricing model
Interpret the option Greeks
Interpret the option Greeks
Cash flow characteristics
Explain the cash flow characteristics of the following exotic options: Asian, barrier, compound, gap, and exchange
Lognormal distribution and Black-Scholes formula
Explain the properties of a lognormal distribution and explain the Black-Scholes formula as an expected value for a lognormal distribution
Itô's lemma
Apply Itô's lemma in the one-dimensional case
Lognormal stock prices
Simulate lognormal stock prices
Delta-Hedging
Explain and demonstrate how to control risk using the method of delta-hedging
Vasicek and Cox-Ingersoll-Ross bond price models
Evaluate features of the Vasicek and Cox-Ingersoll-Ross bond price models
