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

  1. 1

    OPT1 Puts and Calls

    Calls and puts on one share, and the parity between them.

    30 min
  2. 2

    OP9 Risk-neutral valuation

    A stock and a bond, with a call and a put to price across two states.

    30 min
  3. 3

    OPT2 Options Strategies

    Spreads and straddles built from the same strikes.

    30 min
  4. 4

    OP3 Three-period delta hedging

    A hedge that has to be redone every period.

    60 min
  5. 5

    OPT3 Trading Volatility

    Calls and puts at three strikes on one share.

    30 min