A tool that measures the amount of change in the delta of a derivative (most often an option) in response to a unit change in...

A technique which is used to price options by graphically illustrating possible intrinsic values that an underlying asset (stock) may...

The network of lines and nodes which is laid out in the establishment of a binomial or trinomial option pricing...

A multistep binomial tree is an option pricing tool used to figure out the value of American-style stock options and...

A financial model used to value interest rate options based on a single factor (a single stochastic input), which is...

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

A stochastic process where the change in the price of a derivative during each short period of time has a...

The effect of change in one variable pertaining to an option, (particularly the out-of-the-money options/ OTM options) where the output...

A mathematical model which is designed and used to figure out the optimal (theoretical) value of an option based on...

A Gaussian stochastic process (a continuous-time stochastic process) that has independent increments and a vanishing mean, and it features an...