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Convertible Bond Sensitivities

The correlations which are observed between a convertible’s theoretical value and relevant influential factors such as the underlying stock price,…

Modified Decay

A measure of loss in the time value of an option (or an option portfolio) as a result of the...

Modified Theta

A measure of loss in the time value of an option (or an option portfolio) as a result of the...

Theta

A measure (first-order greek) of the rate of change in the value of an option with respect to the passage...

Modified Alpha

A risk measure for options which is computed by relating an option's modified theta to its gamma: Modified alpha =...

Alpha

A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/ gamma...

Credit Spread

The difference between the values of two options, that is made when the value of the one sold exceeds the value...

Rent

The amount of the change in an option price with respect to the decrease in time to expiration. The option value declines or decays...

Time Decay

The amount of the change in an option price with respect to the decrease in time to expiration. The option value declines with the passage...

Gamma Rent

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...