An acronym for at-the-money implied volatility; a measure of volatility (at-the-money volatility, ATM volatility) that represents the risk-neutral standard deviation...
It stands for against the box; a short sale which is carried out by the holder of a long position…
Acronym for adaptive mesh model; a derivative valuation method which was developed by Figlewski and Gao (1999). It is a...
A zero coupon swap (ZCS) in which the zero coupon leg has the right, without the obligation, to call off…
An abbreviation for close-to-the-money option; an option contract in which the underlying’s market price is very near to the strike…
It stands for collateralized put-write; an options trading strategy that involves short positions in put options and the use of…
It stands for convertible bond option; an option that gives the holder of a convertible bond for shares of common…
It stands for convetible bond asset swap; an asset swap whose underlying is a convertible bond. In terms of composition,…
A two-asset option that has a predetermined time window (monitoring period) during which one of two underlying assets is observed…
It stands for currency total return swap; a total return swap (TRS) that allows the buyer to hedge against both…
