Derivatives – Page 317 – Fincyclopedia

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Second Order Greeks

A second-order Greek is a second-order derivative of the option value with respect to some variable. Equivalently, it is the...

Black’s Approximation

An approximation procedure for valuing a call option on a dividend-paying share of stock. It was developed by Fischer Black...

Downgrade Trigger

A provision in a derivative contract that stipulates immediate contract termination with a cash settlement if the credit rating of...

Knock-Out Corridor Option

A variation of corridor option. In this structure, the holder will no more accrue coupon interest as soon as the...

Alpha Transport

A strategy of allocating funds within a portfolio using derivatives to neutralize the market risk inherent in the portfolio. It...

Alpha

A risk measure for options which is computed by relating an option's theta to its gamma: Alpha = decay/ gamma...

European Asian Option

A kind of path-dependent option whose payoff is equal to the difference between the average underlying price during the time...

Leverage

In simple terms, leverage revolves around doing more with less. In finance, it refers to the ability of an investor...

α-Quantile Option

A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...

Alpha-Quantile Option

A path-dependent option that is a theoretical (as yet) extension of a lookback option. The option's payoff is based on...