Valuation of Contingent Claims — Flashcards
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How can a receiver swap be replicated?
Hedge ratio. P0 =
What do we need to know to construct a binomial model?
What is theta?
What is a excess return swap?
Hedge ratio (puts): h =
What is a caplet?
What are assumptions of the Black-Scholes-Merton option valuation model?
What is implied volatility?
What is vega?
Study by Chapter
Binomial option valuation model and its components
Flashcards
European option value as present value of expected payoff
Flashcards
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
Flashcards
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
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Option Greeks
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Dynamic delta hedging
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Gamma risk in options trading
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Implied volatility
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