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Lock-Out Option

A binary option which pays off only if its underlying trades through the upper or lower barrier at least once...

Lock-In Option

A time-dependent option that locks in gains once predetermined price levels are reached by the underlying. The option constitutes a...

Multi-Period Barrier Option

A barrier option which includes a series of individual non-contingent partial barriers. In this option, the knock-out barrier is in...

Multi-Name Credit Default Swaption

An option to buy (if a call) or sell (if a put) a prearranged multi-name credit default swap (CDS). It...

Uncovered Put

A put option which confers on the holder the right to buy the underlying stock at a price below the...

Uncovered Call

An option strategy which is established by taking a short position in an underlying not currently owned by the position...

Cliquet

A set of component options known as cliquetlettes that expire one succeeding the other. As an option, a cliquet resets...

Ratchet Option

A time-dependent option that locks in gains once predetermined price levels are reached by the underlying. The “ratchet” label refers...

Volatility Convexity

The sensitivity of vega as a function of volatility to a change in volatility. It captures the deviation from a...

Down-and-Out Option

A variant of a barrier option in which the right to exercise deactivates or becomes inactive if the actual “spot...