Options

Brief description

  • American options
  • Pay-off functions for European calls and puts
  • Pay-off diagrams of simple option strategies
  • Binomial trees to represent the stochastic process of the underlying
  • Arbitrage-free evaluation of European call options in the binomial tree
  • Stochastic differential equation and geometric Brownian motion
  • Black Scholes formula
  • Put-call-parity
  • The “Greeks“
  • Establishment of delta- and gamma-neutral positions
  • Valuation of options on shares with dividend distribution, on share indices, on forwards, on interest rates, on bonds and on swaps
  • Types of exotic options

Mode of delivery

face to face

Type

compulsory

Recommended or required reading and other learning resources/tools

Own notes slides and exercise sheets

Planned learning activities and teaching methods

Integrated course (ILV), Lecture, exercises, quizzes, group work, guest lectures, discussion

Assessment methods and criteria

Continuous assessment (student contributions in class) and written exam

Prerequisites and co-requisites

Financial Mathematics/Statistics

Infos

Degree programme

Banking and Finance (engl.)

Cycle

Bachelor

ECTS Credits

3.00

Language of instruction

English

Curriculum

Full-Time

Academic year

2025

Semester

3 WS

Incoming

No

Learning outcome

After successful completion of the course, students can

  • identify various types of options traded on the financial markets
  • explain the basic organisational and institutional characteristics of options exchanges
  • describe and reflect the profit and loss profiles of simple options
  • apply basic principles and formulae to evaluate simple options
  • Interpret relevant option key figures
  • manage a portfolio of options

Course code

1229-19-01-VZ-EN-28