Week 5 — May 1: Option Pricing — Black-Scholes & the Greeks

Topics: Black-Scholes model, the Greeks, common option strategies (straddles, butterflies, etc.)

Key Concepts

• Black-Scholes option pricing model
• The Greeks: delta, gamma, theta, vega, rho
• Implied volatility and the volatility smile/surface
• Common strategies: straddles, strangles, butterflies, spreads