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Options & Black-Scholes

Arbitrage, parity, BS, the Greeks, hedging.

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Arbitrage: when prices have to agree, or you get paid
recommended next
Black-Scholes: pricing European options closed-form
untried
recommend Lognormal: multiplicative Normal — stock prices +2 more first
Put-call parity: one identity, five inputs, solve for the sixth
untried
recommend Arbitrage: when prices have to agree, or you get paid first
Greeks: option sensitivities as partial derivatives
untried
recommend Black-Scholes: pricing European options closed-form first
American options: backward induction on a binomial tree
untried
recommend Put-call parity: one identity, five inputs, solve for the sixth +4 more first
Variance swaps via static replication
untried
recommend Put-call parity: one identity, five inputs, solve for the sixth +3 more first
Delta hedging: zero out the linear exposure
untried
recommend Greeks: option sensitivities as partial derivatives +1 more first
Dynamic hedging: gamma slippage and the cost of convexity
untried
recommend Delta hedging: zero out the linear exposure +1 more first