Arev is holding the course Options and Black-Scholes on Wednesday, 16 December 2026. Examining Board for Securities Law Qualifications has confirmed it as 6 hours of general continuing professional development.
The course is intended for holders of securities qualifications and others working in the financial markets. It begins with the fundamentals of options and ends with the Black-Scholes model. The model revolutionised the derivatives market after it was introduced in 1973, and for this, Robert C. Merton and Myron Scholes received the Nobel Prize. The 1997 Nobel Prize in Economics. Fischer Black, who developed the model with Scholes, died in 1995 and was therefore unable to receive the prize.
The following will be covered:
- Basics: Call and put options, contract value, strike price, profit from the option and when an option is in the money, at the money or out of the money.
- Warrant baskets and equivalents: bull spread, bear spread, collar, butterfly and saddle, as well as how options are used to protect a stock position. Also the equivalent of a call and put.
- Pricing: binary tree, simulation and Risk-free pricing.
- Black-Scholes in practice: from tree to a continuous timeline, the formula and calculated flicker.
- The Greeks: delta, gamma, theta, vega and roho.
- Other variants: American and Bermudan options, dividends-paying stock options and other specialised options.
It is taught through arithmetic exercises where participants do the calculations themselves.
The main tutor is Jón Sch. Thorsteinsson, Managing Director of Arev and a mathematician by training.
Do you want to warm up? The video The Trillion Dollar Equation Verasitium vividly recounts how an equation from physics became the cornerstone of the derivatives market.
Practical information
- Time: Wednesday 16 December 2026, 9:00–16:00
- Location: online, in Microsoft Teams
- Further training: 6 hours of general continuing professional development, certified by the Securities Qualifications Board.
- Price: 70,000 kr.
- Registration: Send an email to arev@arev.is with "black_scholes" in the subject line by Friday, 4 December 2026. Please state your name, national insurance number, place of employment and payer.
The course will be held if there are more than 10 participants.