Derivatives – Page 3 – Fincyclopedia

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Uses of One-Touch Options

A one-touch option is a type of exotic option (and a barrier option) in which the holder receives a payout once...

Short Call Synthetic Straddle: Construction and Risk/ Return Profile

A short call synthetic straddle is a neutral option strategy (in essence, it is a short straddle strategy) that is...

Maximum Loss on Short Straddle

A short straddle is a straddle that is constructed by selling two options: one put option and one call option....

ED Futures Quotation

The price of a Eurodollar futures contract (ED) is quoted as 100.00 minus the interest rate for the contract period....

Difference Between Floorlet and Floortion

A floorlet is a put option on some reference rate. It is an interim period floor in a multiple period...

Stock Index Futures Pricing: One Period Model

The fair value of a stock index futures contract can be identified using arbitrage. At the beginning of the period...

Moving Average Floor: an Example

A moving average floor is a floor which pays off the minimum of reference rate averages associated with several periods...

Options versus Futures

An option is a derivative contract giving the holder (buyer) the right, without the obligation, to trade (buy or sell)...

Swap Rate Components

A swap rate is the market rate on the fixed-rate leg of a swap. This rate is paid by the...

Futures Contract Valuation

A futures contract is marked to market on a daily basis. The value of a futures contract at the trade...