Ch 3 · Derivatives Analysis & Valuation

📘 Core concepts

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