Valuation of Contingent Claims — Flashcards
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What value of delta can a put have?
What does it mean to have a high gamma?
What kind of options will have deltas close to 0?
What kind of options have the largest delta?
According to BSM, a put option can be replicated by going...
What value of delta can a call option have?
What is a receiver swaption?
For in-the-money call options (stock price > exercise price), the call delta moves closer to \_\_\_ as time passes
What is a swaption?
How can an interest rate cap be replicated?
Study by Chapter
Binomial option valuation model and its components
Flashcards
European option value as present value of expected payoff
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Option arbitrage opportunities
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Two-period binomial values of European and American options
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Interest rate options in a two-period binomial model
Flashcards
Black-Scholes-Merton model assumptions
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BSM call value as a leveraged position in the underlying
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BSM valuation of equity and currency options
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The Black model for options on futures
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The Black model for interest rate options and swaptions
Flashcards
Option Greeks
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Dynamic delta hedging
Flashcards
Gamma risk in options trading
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Implied volatility
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