a) Explain how the Black-Scholes Model can be used as a tool of risk
management. Critically discuss the usefulness of Delta hedging and at
least two other Greek letters in risk management.
(6 marks)
b) Discuss how to apply non-arbitrage argument to price a derivative
contract, use commodity and non-commodity futures contracts as
examples.
(5 marks)
c) Discuss the US stock market turmoil during March and April 2020,
critically evaluate how to manage the risk associated with such events.
(6 marks)
