The portion of an option's value that is almost entirely attributed to the time left to maturity. It equals an...

A range note in which the coupon is determined as the maximum of dollar LIBOR and Euribor plus a given...

A strike reset option (and a European put option) which allows the holder to shout (and hence it is a...

An option trading strategy that involves buying one option (long option) and selling two same-type options (short options) at sequentially...

A double barrier option in which the underlying consists of two assets. The option’s double barrier (upper and lower barriers-...

An interest rate swap that is based on the structure of TIPS securities. This swap pays a periodic fixed rate...

A warrant that allows the holder to buy (if a call warrant) or sell (if a put warrant) an underlying...

The absolute change in option price in response to a percentage point change in volatility. Tau is used by traders...

A part of the derivative clearing function that involves ending the position in a derivative contract as a result of...

An adjustment that is made to the forward value of a variable to account for the timing of a payoff...