- CFA Exams
- 2023 Level II
- Topic 7. Derivatives
- Learning Module 34. Valuation of Contingent Claims

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##### Learning Outcome Statements PDF Download

1. One-Period Binomial Modeldescribe and interpret the binomial option valuation model and its component terms;describe how the value of a European option can be analyzed as the present value of the option's expected payoff at expiration; | |

2. Two-Period Binomial Modelcalculate the no-arbitrage values of European and American options using a two-period binomial model;identify an arbitrage opportunity involving options and describe the related arbitrage; | |

3. Interest Rate Optionscalculate and interpret the value of an interest rate option using a two-period binomial model; | |

4. Black-Scholes-Merton Option Valuation Modelidentify assumptions of the Black-Scholes-Merton option valuation model;interpret the components of the Black-Scholes-Merton model as applied to call options in terms of a leveraged position in the underlying; describe how the Black-Scholes-Merton model is used to value European options on equities and currencies; | |

5. Black Option Valuation Modeldescribe how the Black model is used to value European options on futures;describe how the Black model is used to value European interest rate options and European swaptions; | |

6. Option Greeks and Implied Volatilityinterpret each of the option Greeks;describe how a delta hedge is executed; describe the role of gamma risk in options trading; define implied volatility and explain how it is used in options trading. |

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