A portfolio of options which has a vega of zero. That is, the option combination implies a neutralized vega. This...
The amount of change in the price of an option in response to a 1% change in volatility of the...
A measure of fluctuation in the price movement of an asset (usually, a tradable asset such as a stock) over...
An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of...
A volatility value that is implied from an option pricing model (like the Black-Scholes model) representing the standard deviation of...
An option pricing model which assumes that the evolution of the underlying asset return follows the generalized autoregressive conditional heteroskedastic...
An agreement (forward volatility agreement) that a seller and a buyer enter into in order to exchange a straddle option...
The underlying volatility that is anticipated over the life of a derivative contract such as an option, a futures contract, etc. It is the amount by...
The underlying volatility that is anticipated over the life of a derivative contract such as an option, a futures contract, etc. It is the amount by...
