BASICS OF OPTIONS

• Financial Derivatives & Financial Engineering
• Plain Vanilla (Call & Put) Option
• Lower Bound & Upper Bound of Option Price
• European and American Options
• Hedging, Speculation, and Arbitrage
• Synthetic Option
• Put-Call Parity and Put-Call Ratio
• Margin Requirement to Write (Sell) Options
• Open Interest, Option Chain & Implied Volatility
• SABR Model

OPTION PRICING MODELS

• Mckean’s Model
• Black-Scholes Merton Model
• Merton’s Jump Diffusion Model
• Cox-Ross-Rubinstein Binomial Model
• Heston Stochastic Volatility Model
• Dupire's Formula
• Bates Model
• Carr-Madan Model
• Variance Gamma (Vg) Model
• Longstaff-Schwartz Model
• Kou’s Model
• Schoutens’s Model

OPTION GREEKS

• First Order Option Greeks: Delta, Gamma, Theta, Vega & Rho
• Second Order Option Greeks: Vanna, Charm, Vomma (Volga) & Speed
• Third Order Option Greeks: Color, Ultima & Zomma

OPTION TRADING STRATEGY

• Covered Call
• Protective Put
• Vertical Spreads
• Horizontal Spreads
• Ratio Spreads
• Straddle
• Strangle
• Iron Butterfly
• Iron Condor

EXOTIC OPTIONS

• Barrier Options (E.G., Knock-In, Knock-Out)
• Asian Options, Lookback Options, Binary Options
• Chooser Options, Rainbow Options, Cliquet Options
• Russian Option, Bermudian Option & Parisian Option, Ladder Option
• Path-Dependent & Path-Independent Options

REVIEW OF RECENT LITERATURE

BIBLIOGRAPHY

SELF-TESTS

• Self Test 1 (MCQ)
• Self Test 2 (Short Answer Type)