The seminar introduces the principles of option pricing. It starts with definitions of basic put and call options, put–call parity, binomial models, risk-neutral methods and simple delta hedging. Then the Black–Scholes–Merton formula is introduced. Finally, implied volatility and smile effects are briefly described.

 

At the end of Intrinsic Value's training seminar in basic principles of option Pricing the participant should be able to:

􀂅  Discuss the factor influencing option price.

􀂅  Describe put-call parity.

􀂅  Discuss the basic principles of the binomial option model.

􀂅  Define and discuss delta-hedging.

􀂅  Explain risk-neutral valuation.

􀂅  Calculate an option price using a one-step binomial model.

􀂅  Define the symbols and letters of inputs into the binomial model.

􀂅  Describe the basic principles of the Black-Scholes-Merton model.

􀂅  State the Black-Scholes-Merton formula for pricing a call option.

􀂅  Calculate an option price using Black-Scholes-Merton model.

􀂅  Identify and discuss the graphic representations of a put and a call.

􀂅  Define delta, gamma, vega, theta and rho.

􀂅  Define and discuss implied volatilityn Define a volatility smile.

􀂅  Define Intrinsic Value and time value.