It stands for variation margin; the extra money which is required to top off the balance in a margin account...
An option that expires before its stated expiration date if the underlying has made significant leaps prior to an early…
An option that expires or pays off if the underlying hits or exceeds the outstrike price. For example, in the…
The most basic version of a total return swap (TRS). By definition, it is a type of credit derivative in...
A cliquet (cliquet product) that has only the basic features without any additional (exotic) elements (as opposed to exotic cliquets)....
The convexity of vega is the second-order measure of derivative price sensitivity, capturing the rate of change of vega with...
A standard barrier option where an event takes place at the first touch of the pre-specified barrier. In other words,...
An interest rate floor (cap) that comes with no additional features. In other words, the structure of a vanilla floor...
The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than...
A vanilla Greek is a first-order derivative of the option value with respect to some variable such as underlying’s price, volatility, interest...