The differential equation that is used, in the Black-Scholes model, to calculate the price or theoretical value of a European...

An interest rate derivative pricing model that was developed by Black and Karasinski in 1991 in an attempt to overcome...

An occasional move in the price of a stock (underlying an option) over a specific period of time. Jumps are...

It stands for variance gamma model; an option pricing model which is based purely on jumps between successive nodes where...

An option pricing model which is based purely on jumps between successive nodes where small jumps occur often and large...

A valuation model that allows for jumps in underlying assets' prices superimposed on to a diffusion process such as geometric...

A capital asset pricing model (CAPM) which views risk as coming from several sources. More specifically, in this model, systematic...

A capital asset pricing model (CAPM) which views risk as coming from several sources. More specifically, in this model, systematic...

A stochastic process which describes the movements in the price of a derivative's underlying through time. In this process, the...

A valuation model which is used to price interest rate options using mean reversion to generate a future interest rate....