Financial Economics for Actuaries I - ACS 620

Binomial option pricing; Black-Scholes formula and option Greeks; delta hedging to manage the risk of an option position; and exotic options (Asian, barrier, compound, and exchange). This course covers the first part of the material of the SOA MFE (Models for Financial Economics) Exam and its equivalent, the CT8 (Core Technical: Financial Economics) Exam of the Institute of Actuaries. Prerequisite: ACS 610.