- Put-call Parity (c - p = S - PV(K))
- Black-Scholes P.D.E
- for American options, <= 0
- Black-Scholes formula, Black's formula
- difference Black's vs. Black Scholes
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protective put, covered call
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collar (protective put + covered call)
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risk reversal (short p, long c)
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bull/bear spread with call/put
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calendar spread
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straddle, strangle, butterfly
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condor
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iron-butterfly
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Greeks change with
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Time to maturity
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underlying price
Difference in modeling log return and percentage return, why they are the same, when different
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Explain volatility jump modeling, local volatility models, stochastic volatility models
- How to model volatility skew, smile, term structure