A volatility whose magnitude is theoretically set the same across different delta values of an option. The standard Black-Scholes model...
A volatility whose magnitude is theoretically set the same across different delta values of an option. The standard Black-Scholes model...
An interest rate cap (particularly, a flexible cap) that gives the holder the right to choose a specific number of...
A non-standard interest rate cap in which the rate used is a swap rate with a constant maturity. For example, a CMS cap could...
An option contract for which no premium is paid upfront by the buyer (long). However, a pre-specified premium should be paid if the option...
An option with an cap placed on payout or price, and which is automatically exercised when the underlying closes at or above (for a call)...
An option on a cap. In other words, a caption is an option to buy or sell an interest rate cap whereby the holder has...
An option on a cap. In other words, a caption is an option to buy or sell an interest rate cap whereby the holder has...
One call option in a cap. More specifically, it is an over-the-counter call on interbank deposit rates or LIBOR rate. An interest rate cap can be thought...
