A volatility value that is implied from an option pricing model (like the Black-Scholes model) representing the standard deviation of...
An at-the-money forward straddle that underlies a forward volatility agreement (FVA). This agreement involves buying or selling the straddle at...
The sensitivity of vega (kappa) to a change in the underlying price of an option contract. That is, it is...
It stands for yield value for a 32nd;; a measure of dollar price volatility of a Treasury security that calculates...
It stands for yield value for a 32nd;; a measure of dollar price volatility of a Treasury security that calculates...
An accrual swap in which interest starts accruing on the fixed leg when the floating reference rate enters into (or...
An accrual swap in which interest starts accruing on the fixed leg when the floating reference rate enters into (or...
An option pricing model which assumes that the evolution of the underlying asset return follows the generalized autoregressive conditional heteroskedastic...
An option sensitivity measure (a second-order greek) that captures the second order sensitivity of an option to the volatility of...
A proposed option whose payoff is linked to the magnitude of volatility in a given market. In other words, the...
