Ch 3 · Derivatives Analysis & Valuation

5 concept points · 5 formulas · 4 exam-critical points.

📘 Core concepts

• 1Forward: customised OTC; Futures: exchange-traded standardised.
• 2Options: Call (right to buy), Put (right to sell); American (anytime) vs European (expiry).
• 3Option payoff at expiry: Call = max(S−K, 0), Put = max(K−S, 0).
• 4Black-Scholes model for European options on non-dividend-paying stock.
• 5Greeks: Delta (price sensitivity), Gamma, Theta, Vega, Rho.