It stands for zero-strike call option; a call option in which the strike price is set at zero. The underlying...

A swap agreement made between a municipality (a city or town local council) and a financial intermediary, in which the...

A measure that captures the premium difference between the value of an option calculated using the smile volatility and its...

A tool that measures the sensitivity of an option price to implied volatility. It is the change in an option's...

An options trading strategy which is arranged such that the premium received from an option sold (short option) compensates for...

An iterative numerical methodology that is used to construct the spot zero rate curve implied by coupon-bearing, usually Treasury bonds....

A third-order greek that captures the rate of change of gamma with respect to changes in the volatility (implied volatility)...

A range forward contract, i.e., a variation on a regular forward contract which is used primarily to hedge or mitigate foreign exchange risk....

A cash-settled European call option whose exercise price is zero or very close to zero. Since its being exercised is almost certain,...

A payer (receiver) zero-coupon swaption is an option which gives the holder the right to enter into a payer (receiver) zero-coupon interest rate...