An option which has, like a European option, a fixed expiration date (it can only be exercised at that date),...
An instrument (part debt and part equity) that gives the holder the right, but not the obligation, to exchange his...
It stands for variance gamma model; an option pricing model which is based purely on jumps between successive nodes where...
An option pricing model which is based purely on jumps between successive nodes where small jumps occur often and large...
Another name for a ratio backspread. It was termed so (vacation spread) because it is one of the most secure...
A measure of volatility which supposes that volatility is a random market risk variable, rather than a known and constant...
The degree to which the price of the underlying of an option fluctuates. For an out-of-the-money option, it represents the...
An abbreviation for volatility of volatility, which is a statistical concept implying that volatility of of a series of random...
The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than...
As a volatility derivative, it is an agreement (swap) that entails exchanging the realized volatility between the time of entering...
