A binary option that can be exercised only at the end of its life (i.e., on expiration date). That is,...
A volatility trading strategy that combines an at-the-money forward call (ATMF call) with an ATMF put with opposite deltas, in…
It stands for premium adjusted spot delta; a spot delta (standard sensitivity of a vanilla option with respect to changes...
A spot delta (standard sensitivity of a vanilla option with respect to changes in the spot rate/ price) that accounts...
A spot delta (standard sensitivity of a vanilla option with respect to changes in the spot rate/ price) that accounts...
A position in which negative deltas offset positive deltas. The overall delta of the position is zero or very close…
The correlations which are observed between a convertible’s theoretical value and relevant influential factors such as the underlying stock price,…
A complex hedging technique which is designed to mitigate different risk exposures usually associated with options. Those exposures are often…
A hedging technique which aims to make the price of a set (or portfolio) of derivatives immune to small movements in…
A rule that assumes that the implied volatility for an option with a given strike price and maturity will not...