An option in which payment of the premium is deferred until the its expiration date. This option is a type...
A fixed-for-floating interest rate swap in which the swap comes into effect immediately at the trade date, but the swap...
It stands for variance gamma model; an option pricing model which is based purely on jumps between successive nodes where...
An option pricing model which is based purely on jumps between successive nodes where small jumps occur often and large...
Another name for a ratio backspread. It was termed so (vacation spread) because it is one of the most secure...
An interest rate swap or a cross-currency swap in which the interest rate payments for the swap buyer (seller) are...
A valuation model that allows for jumps in underlying assets' prices superimposed on to a diffusion process such as geometric...
A type of quanto option whose value depends on the spot exchange rate at expiration date relative to a guaranteed...
In present day, a “Japanese option” may seem an out-dated term, though still it can refer to an option which...
One of the common option cycles which constitutes a series of option contracts with the same terms and features. These...