The module covers: basic option concepts and markets (calls, puts, payoffs, arbitrage and put-call parity), probability and simple asset price models, the Black–Scholes framework (PDE, formulas and risk-neutral valuation), option sensitivities (Greeks), numerical methods for pricing (root-finding for implied volatility, Monte Carlo simulation, binomial trees and finite difference methods), selected exotic options and discrete-time American options, and volatility estimation and variance-reduction techniques.
- Facilitator: Nick Hale