A low exercise price option, which is, by definition, a call option with an exercise price initially set deep in-the-money....

A tool that measures the calculated or implied mid-rate volatility for an ATM option for a specific expiration date. In...

It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity...

A swap which involves an exchange of interest calculated by reference to the Retail Prices Index (RPI) and another reference...

It stands for near the money; the state in which options or option positions, whose market prices are very near...

It stands for buy-write strategy; an options trading strategy whereby an investor buys a share of stock or a basket...

A barrier floor whereby protection (floor rate mechanism) ceases to exist or deactivates (i.e., knocks out) only if the floating...

A shortcut for basket credit event binary option. By definition, it is a cash-settled call option whose underlying is a...

The expected future values of the Bond Market Association (BMA) index, where expectations are taken in the corresponding forward probability...

It stands for equity default swap; a hybrid of an equity derivative and a credit derivative which has identically the...