Corporate Finance Institute – Pricing Options and Option Sensitivities

Learn the inner workings of three option pricing models and various option Greeks.

• Identify the drivers and key inputs required for different option pricing models
• Use Excel to estimate an option value using multiple option pricing models
• Calculate the option price given changes in factors such as volatility, price of the underlying asset, and time

In this course, we focus on valuing options using three pricing models: Black-Scholes, binomial, and the Monte Carlo simulation. Starting with the Black-Scholes model, we break it down and simplify the complex formula to ensure each and every component is understood. We then move on to learning the fundamentals of the one-step binomial model before progressing to additional steps. Finally, we look at the Monte Carlo simulation and show how it can be created in Excel. Our last module in the course focuses on option Greeks, which measure the sensitivity of an option price relative to a change in different variables.

This course is great for anyone interested in enhancing their understanding of derivatives and may be deciding to work in a role where the knowledge of options is expected or appreciated.

What You’ll Learn In Pricing Options and Option Sensitivities?

• Identify the drivers and key inputs required for different option pricing models
• Use Excel to estimate an option value using multiple option pricing models
• Explain the Greeks and interpret the different values of each
• Calculate the option price given changes in factors such as volatility, price of the underlying asset, and time

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