Commodities, Derivatives and Structured Products

Exotic Options - Part 5

概要

This eCourse consists of two modules. Module 1 look at how exotic options can be priced using numerical techniques such as the Black-Scholes model (BOPM) and simulation approaches and how path-dependent products can be priced using Monte Carlo simulation. Exotic options are options that have nonstandard payoffs and are unsuitable for pricing using closed-form solutions.

Module 2 looks at some of the main uses of exotic options, including callable asset swaps, portfolio insurance, and structured products.

宗旨

On completion of this course, you will be able to:
- Define the challenges involved in pricing options with nonstandard payoffs
- Recognise how the binomial option pricing model (BOPM) can be used to price American and Bermudan options, as well as exotic options, such as barrier options
- Recall how Monte Carlo simulation can be used to price path-dependent options
- Identify the key applications of exotic options, such as binary options, Bermudan options, barrier options and Asian options
- Recognise the use of exotic options in callable asset swaps, exposure to option sensitivities (“Greeks”), portfolio insurance strategies, and structured notes

內容

Module 1: Exotic Options - Pricing
Topic 1: Overview
Topic 2: Binomial Option Pricing Model (BOPM)
Topic 3: Monte Carlo Simulation

Module 2: Exotic Options - Application
Topic 1: Overview
Topic 2: Applications of Binary Options
Topic 3: Applications of Bermudan Options
Topic 4: Applications of Barrier Options
Topic 5: Applications of Asian Options

詳情

活動編號
TEPDS20008001
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3類 - 槓桿式外匯交易
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
Advanced
課程時數
SFC:1.50, PWMA:1.50
費用
機構會員員工: HK$510
香港中資証券業協會(HKCSA): HK$535
非會員: HK$765
所有會員: HK$510