Options & Derivatives
Pricing, hedging, and risk management for financial derivatives.
Course Lessons
Put-Call Parity & Payoffs
The fundamental relationship between calls, puts, and the underlying
Binomial Tree Pricing
Discrete-time option pricing via replication and risk-neutral probabilities
Black-Scholes Model
The foundational option pricing formula
Option Strategies
Spreads, covered calls, collars, and arbitrage with options
The Greeks
Delta, gamma, theta, vega — sensitivity measures
Implied Volatility
Inverting BSM to extract market expectations
Monte Carlo Pricing
Simulation-based derivative pricing
Exotic Options
Barrier, Asian, digital, and lookback options — payoffs, pricing, and Greek behaviour
Volatility Surface
Smile, skew, term structure, SVI parameterization, and sticky strike vs sticky delta
Dynamic Hedging & P&L Attribution
P&L decomposition via Greeks, realized vs implied vol trading, and optimal hedging frequency
American Option Pricing
Early exercise boundary, binomial pricing, dividends, and Longstaff-Schwartz