Week 1 15th May 2021?

zoom Live class Basic Statistics section

Week 2 22 May 2021

Week 3 29 May 2021

Week 4 5 June , 2021

Week 5 12 June 2021

Week 6 19 June 2021

Week 7 26 June 2021

Week 8 10 July 2021

Week 9 17 July 2021

Week 10 24 July 2021

Week 11 31 July 2021

Week 12 7 August 2021

Week 13 14 August 2021

Week 15 28 August 2021

Book 1 Fundamentals of Risk Management

Book 3 Financial Markets and Products

Book 4 Valuation and Risk Models

C15 The Black Scholes Mertorn Model
  • Explain the lognormal property of stock prices, the distribution of rates of return, and the calculation of expected return.
  • Compute the realized return and historical volatility of a stock.
  • Describe the assumptions underlying the Black-Scholes-Merton option pricing model.
  • Compute the value of a European option on a non-dividend-paying stock using the Black-Scholes-Merton model.
  • Define implied volatilities and describe how to compute implied volatilities from market prices of options using the Black-Scholes-Merton model.
  • Explain how dividends affect the decision to exercise early for American call and put options.
  • Compute the value of a European option using the Black-Scholes-Merton model on a dividend-paying stock, futures, and exchange rates.
  • Describe warrants, calculate the value of a warrant, and calculate the dilution cost of the warrant to existing shareholders.
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