A type of Markov process; a stochastic process, i.e., a group of random variables defined on the same probability space...
A valuation model which is used to price financial options under a number of simplistic assumptions, including specifically that the...
A measure of fluctuation in the price movement of an asset (usually, a tradable asset such as a stock) over...
An option pricing model that is designed to measure the change in the price of an option as a result...
It stands for Black-Scholes model; a valuation model which is used to price financial options under a number of simplistic...
A valuation model which is used to price financial options under a number of simplistic assumptions, including specifically that the...
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...
A market phenomenon that comes into play when dealers in CMS spread range accrual structures (CRANS) go from exposure being relatively flat...
A risk measure for options which is computed by relating an option's theta to its gamma: Gamma rent = decay/gamma This second-order greek , which is also...
