A measure that captures the premium difference between the value of an option calculated using the smile volatility and its...
A tool that measures the sensitivity of an option price to implied volatility. It is the change in an option's...
According to the Black-Scholes model, it refers to the premium which makes both the option seller and buyer break even....
An option has convexity because of the non-linear relationship between its value and the price of its underlying asset. The...
The difference between the actual option premium and the option's estimated fair value. This difference arises because option sellers are...
In connection with underwriting in insurance, it is the process undertaken by an insurer whereby it properly evaluates the risk...
An interest rate swap (specifically an off-market swap) where one or both of the assets underlying the swap sell/sells at...
A variation of an equity collar that allows the holder to increase either the downside protection or the upside potential...
A variation of an equity collar that allows the holder to increase either the downside protection or the upside potential...
A spread option position whereby the price of the option purchased (long option) is larger than the price of the...