An option valuation model which is used for pricing foreign currency options. It is similar in form to the Black-Scholes…
The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than...
The differential equation that is used, in the Black-Scholes model, to calculate the price or theoretical value of a European...
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...
A measure of volatility which supposes that volatility is a random market risk variable, rather than a known and constant...
The volatility of volatility. A measure of volatility which supposes that volatility is a random market risk variable, rather than...
It stands for fair value premium; according to the Black-Scholes model, it refers to the premium which makes both the...
A delta greek that measures the sensitivity of delta (of an option position) to changes in time. In other words,...
According to the Black-Scholes model, it refers to the premium which makes both the option seller and buyer break even....
