NISM Series XVI - Commodity Derivatives Exam Notes

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  • When Interest rate rises - Call premium Rises, Put Premium Falls
  • The Binomial Pricing Model was developed by William Sharpe in 1978. It has proved over time to be the most flexible, intuitive and popular approach to option pricing
  • The Black-Scholes Model was published in 1973 by Fisher Black and Myron Scholes. It is one of the most popular, relative simple and fast modes of calculation. Unlike the binomial model, it does not rely on calculation by iteration.
  • Delta (δ or Δ) = Change in option premium/ Unit change in price of the underlying asset. Delta for call option buyer is positive . Delta for put option buyer is negative
  • Gamma (γ) is called a second derivative option with regard to price of the underlying asset. Gamma = Change in an option delta/ Unit change in price of underlying asset
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NISM Commodity Derivatives

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