Track 03
Run in order5 cases · 3h · Intro to advanced
Options and Volatility
From one-period pricing to a hedged book to volatility as the thing traded. Each case keeps the instruments of the last and changes what the position is exposed to.
The arc
- 130 min
Calls and puts on one share, and the parity between them.
- 230 min
A stock and a bond, with a call and a put to price across two states.
- 330 min
Spreads and straddles built from the same strikes.
- 460 min
OP3 Three-period delta hedging
A hedge that has to be redone every period.
- 530 min
Calls and puts at three strikes on one share.