A vertical spread with a bearish outlook. There are two main bear vertical spread strategies: the bear call spread and…
A series representation that is used for generating the model procedure: the so-called variance gamma process in pricing average rate…
An option trading strategy which combines uncapped profit potential with a capped risk. Therefore, it suits times when volatility is...
The correlation that results in the price of a 0% to X% collateralized debt obligation tranche (CBO tranche) being consistent...
A rate that results from averaging, in a way or another, the rates of portfolio components. A basket rate can...
Re-establishing an original position taken by an option buyer, undoing whereby a previously made conversion or reversal of an option…
A path-dependent exotic option in which the two boundary protection levels (cap and floor) knock in or out when a...
A lookback option that allows the holder to choose to have a call or a put option on the same…
A floater in which the coupon is activated (knocked-in) or deactivated (knocked-out) if the reference interest rate exceeds or falls...
A FRN (floating-rate note) in which the coupon is activated (knocked-in) or deactivated (knocked-out) if the reference interest rate exceeds…