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Valuing Options – Black Scholes Example

SKU 00047
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Product Details

About the course

The course consists of an EXCEL file that contains examples illustrating the pricing of options using the Black Scholes (BS) option pricing formula. In particular it calculates the BS option price for:

  • European Call Option including Greeks (i.e. various sensitivity measures) such as delta, gamma, theta, vega, and rho
  • European Put Option including Greeks as mentioned above
  • Exotic Barrier options such as:
    • Up-and-out call
    • Up-and-in call
    • Down-and-out call
    • Down-and-in call
    • Down-and-out put
    • Down-and-in put
    • Up-and-out put
    • Up-and-in put

Learning Objectives

After taking this course you will be able to:

  • Price European call, put and various barrier options using the Black Scholes formula
  • Calculate the Greeks for European call and put options

Prerequisites

The candidate should be comfortable with basic mathematics, statistics, probability and EXCEL and have some knowledge of derivative products.

Target Audience

This course is for beginners in the finance field and is also aimed at banking, corporate, treasury and sales teams.

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