Commodities, Derivatives and Structured Products

Options - Part 1 (2018)

概要

This eCourse consists of three modules. Module 1 looks at the key inputs into option valuation and the different techniques, such as binomial expansion, Black-Scholes, and Monte Carlo techniques that are used to value options.

Module 2 looks at key inputs of the valuation of options and sensitivity measures and it also looks at the importance of put-call parity in exploiting potential option mispricings through arbitrage.

Module 3 looks at the basic dynamics of option values, exploring the relationship between option prices and forward prices, the concept of option moneyness, and the breakdown of option prices into time value and intrinsic value.

宗旨

On completion of this course, you will be able to:
- Recognize how the type and width of an option’s payoff distribution affects its valuation
- Recall how to value an option using techniques such as binomial expansion, the Black-Scholes formula, and Monte Carlo simulation
- Recall how options that are in the money at expiration are automatically exercised while those that are out of the money lapse
- List the key inputs into option pricing, including the underlying stock price, the strike, time, volatility, risk-free rate, and dividends (or other asset income)
- Recognize the difference between realized volatility, implied volatility, and expected volatility
- Identify the main option pricing sensitivities, including delta, gamma, and theta
- Recognize the importance of put-call parity in identifying option arbitrage opportunities
- Recognize the importance of moneyness and measures of option sensitivity such as delta
- Identify how forward prices are connected to option prices and how forwards are priced in Excel

內容

Module 1: Option Valuation – An Introduction
Topic 1: Basics of Option Valuation
Topic 2: Option Pricing Techniques

Module 2: Option Valuation – Key Concepts
Topic 1: Options Decision-Making & Outcomes
Topic 2: Option Pricing Influences: Underlying Price & Strike

Module 3: Option Valuation – Sensitivities & Outcomes
Topic 1: Moneyness
Topic 2: Option Pricing & Forwards
Topic 3: Option Pricing Influences: Time & Volatility
Topic 4: Option Pricing Inputs & Sensitivities
Topic 5: Put-Call Parity

詳情

活動編號
TEPDS18006001
地點
網上平台
相關主題
第1類 - 證券交易
第2類 - 期貨合約交易
第4類 - 就證券提供意見
第5類 - 就期貨合約提供意見
語言
英文
級別
Introductory
課程時數
SFC:2.50, PWMA:2.50
費用
香港中資証券業協會(HKCSA): HK$790
非會員: HK$1125
機構會員員工: HK$750
所有會員: HK$750