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Topic 7 – Derivatives
Module 2– Valuation of Contingent Claims: Part II – BSM Model & Greeks
LOS: Identify assumptions of the Black–Scholes–Merton option valuation model.
LOS: Interpret the components of the Black–Scholes–Merton model as applied to call options in terms of a leveraged position in the underlying.
LOS: Describe how the Black–Scholes–Merton model is used to value European options on equities and currencies.
LOS: Describe how the Black model is used to value European options on futures.
LOS: Interpret each of the option Greeks
LOS: Describe how a delta hedge is executed.
LOS: Describe the role of gamma risk in options trading.