Class Notes
These lecture notes follow the course schedule. They live on the Derivatives site, and each chapter is available in HTML and as a PDF for printing.
Options
| Topic | Date |
|---|---|
| Options Strategies | 11/12 |
| Options Spreads | 11/12 |
Option Pricing in Continuous Time
| Topic | Date |
|---|---|
| The Lognormal Distribution | 11/12 |
| Modeling Stock Prices in Continuous-Time | 11/17 |
| The Black-Scholes Model | 11/19 |
| Options on Assets Paying a Dividend Yield | 11/24 |
| Options on Futures | 11/24 |
| The Greeks | 12/1 |
| Exotic Options | 12/1-3 |
Supplementary Notes
These chapters are not part of the assigned schedule. They cover the material on options that this course builds on, and you may find them useful as background.
| Topic |
|---|
| Options Markets |
| Properties of European Options |
| The Impact of Dividends |
| Binomial Pricing |
| Multiple Periods |
| American Options |