Contents

Introduction

1   Contract Settlement and Cash Flow

2   Forward Pricing

3   Contract Specifications and Terminology

4   Expiration Profit and Loss

5   Theoretical Evaluation

6   Volatility

7   Risk Measurement

8   Delta Neutral Positions and Dynamic Hedging

9   The Dynamics of Risk

10   preading Strategies

11   ynthetic Equivalents

12   ynthetic Pricing and Arbitrage

13   Early Exercise of American Options

14   The Black-Scholes Model

15   Binomial Pricing

16   Hedging Strategies

17   Models and the Real World

18   kewness and Kurtosis

19   tock Indexes

20   Risk Analysis

Appendix: Useful Formulas and Relationships

Answer Key

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