An abbreviation for at-the-money elasticity; the elasticity of an option where its value increases (for a call) or decreases (for...
Also at-the-money strike; the strike price of an option which is equal to the spot price of its underlying. The...
An interest rate cap in which the successive caplets cover decreasing notional principal amounts. In other words, the notional principal...
An option whose underlying asset is an interest rate (hence called: an interest rate option) or an interest rate swap...
An interest rate collar (collar - collar option) which covers notional principal amounts (NPAs) decreasing on a scheduled basis. Amortization...
An interest rate swap whose notional principal amount (NPA) declines over its life according to a specific amortization schedule. The...
A strategy of allocating funds within a portfolio using derivatives to neutralize the market risk inherent in the portfolio. It...
A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/ gamma...
A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...
A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...