A change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility)....
A change in the gamma of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g.,...
A change in the sensitivity of an option (or generally a derivative) with the passage of time, holding everything else constant (e.g., volatility)....
A plain vanilla option in which the strike is determined as a percentage of the future/forward price. For instance, a 110% moneyness...
The termination of a swap or other OTC derivative prior to its maturity date. The cancelling counterparty pays the other counterparty a lump sum amount...
A barrier option that has two outstrikes, one in knock-in (kick) direction and the other in knock-out (knock) direction. In other words, the...
A barrier option (particularly a European barrier option) which has a fluffy barrier. The fluffy barrier has a progressive or gradual effect, as it...
An equity swap where one party periodically pays a fixed amount and receives an amount based on the performance of a basket...
A non-standard interest rate cap in which the rate used is a swap rate with a constant maturity. For example, a CMS cap could...
The interest which is earned by the holder of a debt instrument or interest rate derivative but not yet paid. In bonds, it is...