Lecture 7: Basic Derivatives

11/1/98


Click here to start


Table of Contents

Lecture 7: Basic Derivatives

Contents

Payoff Diagrams

Options - Speculation or Hedging?

Why Buy Options

Why Sell Options

A Traderís Option Pricing Model

A Simple Binomial Model

The Black-Scholes Formula

The Black-Scholes Formula

A Useful Approximation

FX Options

FX Options

Interest Rate Options

Interest Rate Options

Equity Options

SPX Options

SPX Volatilities as of 19-Oct-98

Electronic Trading

Quantos

Author: Jim Gatheral

Email: jim@exchange.ml.com

Best experienced with
Microsoft Internet Explorer
Click here to start.