Valuation of Contingent Claims — Flashcards
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Which positions in calls/puts have positive gamma?
A delta hedged asset position is only risk free for.....
What are the 5 inputs in the Black Scholes Morton model?
synthetic put =
Hedge ratio. C0 =
When does a holder of a payer swaption exercise?
Probability of "down" move: πD =
Hedge ratio (calls): h =
For out of the money put options (stock price > exercise price), the put delta moves closer to \_\_\_ as time passes.
How does a call option's price change as the underlying asset price increases?
Study by Chapter
Binomial option valuation model and its components
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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
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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
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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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