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Derivatives pricing and the Greeks· 3 of 4
  1. 01Options and put-call parity
  2. 02The Black-Scholes-Merton model
  3. 03Analytical Greeks and sensitivity risk
  4. 04Binomial trees and American options

Derivatives pricing and the Greeks

Analytical Greeks and sensitivity risk

Compute option price sensitivities (Delta, Gamma, Vega, Theta, Rho) to manage non-linear portfolio exposures.

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This one opens once you have finished Statistical arbitrage and factor models.

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