- CFA Exams
- 2023 Level I
- Topic 7. Derivatives
- Learning Module 46. Basics of Derivative Pricing and Valuation
Why should I choose AnalystNotes?
AnalystNotes specializes in helping candidates pass. Period.
Learning Outcome Statements PDF Download
| 1. The Principle of Arbitrage a. explain how the concepts of arbitrage, replication, and risk neutrality are used in pricing derivatives; | |
| 2. The Concept of Pricing vs. Valuation b. explain the difference between value and price of forward and futures contracts; | |
| 3. Pricing and Valuation of Forward Contracts c. calculate a forward price of an asset with zero, positive, or negative net cost of carry; d. explain how the value and price of a forward contract are determined at expiration, during the life of the contract, and at initiation; e. describe monetary and nonmonetary benefits and costs associated with holding the underlying asset and explain how they affect the value and price of a forward contract; | |
| 4. Forward Rate Agreements f. define a forward rate agreement and describe its uses; | |
| 5. Why do Forward and Futures Prices Differ? g. explain why forward and futures prices differ; | |
| 6. Pricing and Valuation of Swap Contracts h. explain how swap contracts are similar to but different from a series of forward contracts; i. distinguish between the value and price of swaps; | |
| 7. The Value of a European Option at Expiration j. explain the exercise value, time value, and moneyness of an option; | |
| 8. Factors that Affect the Value of an Option k. identify the factors that determine the value of an option and explain how each factor affects the value of an option; | |
| 9. Put-Call Parity l. explain put-call parity for European options; | |
| 10. Put-Call-Forward Parity m. explain put-call-forward parity for European options; | |
| 11. Binomial Valuation of Options n. explain how the value of an option is determined using a one-period binomial model; | |
| 12. American Option Pricing o. explain under which circumstances the values of European and American options differ. |
I used your notes and passed ... highly recommended!
Lauren
My Own Flashcard
No flashcard found. Add a private flashcard for the module.
Add