599:
option provides the buyer of the option with the right to exercise at set specific points in time after providing the other counterparty with a pre-determined period of notice of their intent to exercise the option. Evergreen options provide sellers with a period of time to prepare for settlement once the buyer has exercised their rights under the option. Embedding evergreen optionality within on and off-balance sheet products can enable counterparties (such as banks that must adhere to Basel III) to lengthen their inflow or outflow obligations.
2596:
349:, etc.), the American option will be worth at least as much as the European (which it entails). If it is worth more, then the difference is a guide to the likelihood of early exercise. In practice, one can calculate the BlackâScholes price of a European option that is equivalent to the American option (except for the exercise dates). The difference between the two prices can then be used to
499:.) Typically, the holder can exercise the option at quarterly dates, but not before a set time period (typically one year) has elapsed. The ability to exercise the option ends prior to the maturity date of the product. The term was coined by Keith Kline, who at the time was an agency fixed income trader at the Bank of New York.
554:
allows the holder effectively two exercise dates: during the life of the option they can (at any time) "shout" to the seller that they are locking-in the current price, and if this gives them a better deal than the payoff at maturity they'll use the underlying price on the shout date rather than the
460:
is an option where the buyer has the right to exercise at a set (always discretely spaced) number of times. This is intermediate between a
European option—which allows exercise at a single time, namely expiry—and an American option, which allows exercise at any time (the name is jocular:
337:
An investor holding an
American-style option and seeking optimal value will only exercise it before maturity under certain circumstances. Owners who wish to realise the full value of their option will mostly prefer to sell it as late as possible, rather than exercise it immediately, which sacrifices
539:
is an option on another option, and as such presents the holder with two separate exercise dates and decisions. If the first exercise date arrives and the 'inner' option's market price is below the agreed strike the first option will be exercised (European style), giving the holder a further option
869:
is a cross option in which the exchange rate is fixed at the outset of the trade, typically at 1. These options are often used by traders to gain exposure to foreign markets without exposure to exchange rate. Continuing the example from the composite option, the payoff of an IBM quanto call option
598:
is an option where the buyer has the right to exercise by providing a pre-determined period of notice. This option could be either
American or European in nature or alternatively it could be combined with option styles that have non-vanilla exercise rights. For example, an 'Evergreen-Bermudan'
583:
gives the purchaser the right to exercise one and only one call or put on any one of a number of specified exercise dates (this latter aspect is
Bermudan). Penalties are imposed on the buyer if the net volume purchased exceeds or falls below specified upper and lower limits. Allows the buyer to
394:
option (FX option) where the strike currency has a lower interest rate than the currency to be received will often be exercised early because the time value sacrificed is less valuable than the expected depreciation of the received currency against the
1107:) is an option where the payoff is not determined by the underlying price at maturity but by the average underlying price over some pre-set period of time. For example, an Asian call option might pay MAX(DAILY_AVERAGE_OVER_LAST_THREE_MONTHS(S) â K, 0).
477:. The option holder might decide to enter into the swap at the first exercise date (and so enter into, say, a ten-year swap) or defer and have the opportunity to enter in six months time (and so enter a nine-year and six-month swap); see
1063:" are still options, but have payoffs calculated quite differently from those above. Although these instruments are far more unusual they can also vary in exercise style (at least theoretically) between European and American:
1239:
involves a mechanism, in which if the maximum amount of time the underlying asset value has spent consecutively above or below a 'limit price' exceeds a certain threshold, the option can be exercised or can no longer be
318:. In general, no corresponding formula exist for American options, but a choice of methods to approximate the price are available (for example Roll-Geske-Whaley, Barone-Adesi and Whaley, Bjerksund and Stensland,
446:
There are other, more unusual exercise styles in which the payoff value remains the same as a standard option (as in the classic
American and European options above) but where early exercise occurs differently:
1224:
involves a mechanism, in which if the total amount of time the underlying asset value has spent above or below a 'limit price' exceeds a certain threshold, then the option can be exercised or can no longer be
840:
569:
gives the purchaser a composite call-and-put option (an option to either buy or sell) in a single contract. This has only ever been available in commodities markets and has never been traded on exchange.
356:
To account for the
American's higher value there must be some situations in which it is optimal to exercise the American option before the expiration date. This can arise in several ways, such as:
936:
758:
291:
Traditional monthly
American options expire the third Saturday of every month (or the third Friday if the first of the month begins on a Saturday). They are closed for trading the Friday prior.
294:
European options traditionally expire the Friday prior to the third
Saturday of every month. Therefore, they are closed for trading the Thursday prior to the third Saturday of every month.
690:
1568:
968:
is the exchange rate fixed at the outset of the trade. This would be useful for traders in Japan who wish to be exposed to IBM stock price without exposure to JPY/USD exchange rate.
469:, is somewhat American and somewhat Europeanâin terms of both option style and physical locationâbut is nearer to American in terms of both). For example, a typical Bermudian
213:
161:
1018:
is a basket option where the weightings depend on the final performances of the components. A common special case is an option on the worst-performing of several stocks.
966:
788:
264:
240:
2433:
2345:
1210:
involves a mechanism where if either of two 'limit prices' is crossed by the underlying, the option either can be exercised or can no longer be exercised.
283:
Most stock and equity options are
American options, while indexes are generally represented by European options. Commodity options can be either style.
437:
if the holder waits until final maturity to exercise the option (they will almost certainly exercise a contract deep ITM, minimizing its time value).
310:
can be derived to describe the prices of derivative securities as a function of few parameters. Under simplifying assumptions of the widely adopted
495:
is an option whose exercise style lies somewhere between
European options and Bermudian options. (The name refers to the relative geography of the
1150:
is an option where the writer has the opportunity to cancel the option she has offered, but must pay the payoff at that point plus a penalty fee.
623:
1196:
involves a mechanism where if a 'limit price' is crossed by the underlying, the option either can be exercised or can no longer be exercised.
1080:
option where the option owner has the right to buy (sell) the underlying instrument at its lowest (highest) price over some preceding period.
2139:
1714:
1270:(also known as a digital option) pays a fixed amount, or nothing at all, depending on the price of the underlying instrument at maturity.
2144:
1607:
1254:
occurs when a contract has expired without having been exercised. The owner of the underlying security may then reoption the security.
326:
and others; there is no consensus on which is preferable). Obtaining a general formula for American options without assuming constant
793:
2479:
2169:
1641:
873:
695:
331:
2301:
1495:
1087:
is a lookback option that runs for perpetuity. That is, there is no end to the period into which the owner can look back.
842:
on the exercise date. The pricing of such options naturally needs to take into account exchange rate volatility and the
2037:
2539:
1707:
646:
1125:
to prevent option traders from attempting to manipulate the price of the underlying security on the exercise date.
17:
2474:
2119:
1361:
692:(where S is the stock price at maturity and K is the strike price). A composite stock option might instead pay
339:
303:
1164:
is dependent on the total amount of time the underlying asset value has spent above or below a strike price.
517:
but a conventional option with a pre-defined profit cap written into the contract. A capped-style option is
1553:
1286:
gives the purchaser a fixed period of time to decide whether the derivative will be a vanilla call or put.
2514:
2052:
1906:
1700:
1398:
1388:
2621:
2370:
2311:
2133:
1519:
466:
277:
86:
The key difference between American and European options relates to when the options can be exercised:
1403:
2415:
2226:
1030:
171:
119:
55:
2534:
2529:
608:
These options can be exercised either European style or American style; they differ from the plain
323:
42:
is the class into which the option falls, usually defined by the dates on which the option may be
2484:
2184:
2154:
2129:
2012:
1853:
1785:
1393:
2281:
2266:
2231:
2174:
319:
307:
2494:
2261:
2159:
1838:
1383:
327:
315:
71:
941:
763:
2448:
2405:
2395:
2385:
2380:
2106:
2047:
1982:
1936:
1931:
1805:
1765:
1732:
1346:
1331:
1297:
314:, the Black-Scholes equation for European options has a closed-form solution known as the
8:
2453:
2241:
2164:
1987:
1470:
1341:
429:
will be exercised early when deep ITM, because gold tends to hold its value whereas the
2504:
2489:
2458:
2443:
2410:
2276:
2067:
2032:
1795:
1760:
1723:
1678:
1658:
1599:
1591:
1336:
982:
is the right to exchange one asset for another (such as a sugar future for a corporate
474:
249:
225:
43:
2509:
2499:
2438:
2425:
2400:
2286:
2072:
1868:
1637:
1603:
1547:
1460:
1428:
1122:
514:
1682:
2390:
2329:
2324:
2306:
2236:
2002:
1997:
1969:
1921:
1800:
1740:
1670:
1583:
1536:
1455:
1356:
411:
273:
39:
2600:
2570:
2565:
2519:
2355:
2350:
2296:
2206:
2114:
2087:
2027:
2022:
1992:
1941:
1926:
1843:
1823:
1631:
1077:
1050:
is an American option but with premium deferred until the option expiration date.
345:
Where an American and a European option are otherwise identical (having the same
269:
75:
1178:
is dependent on the maximum amount of time the underlying asset value has spent
2575:
2560:
2360:
2271:
2221:
2198:
2179:
2007:
1949:
1916:
1911:
1891:
1815:
1475:
1408:
1312:
1282:
1014:
983:
609:
522:
496:
407:
59:
2615:
2555:
2524:
2365:
2291:
2251:
2246:
2082:
1954:
1901:
1896:
1878:
1775:
1755:
1373:
1266:
1060:
1046:
998:
847:
478:
415:
369:
65:
584:"swing" the price of the underlying asset. Primarily used in energy trading.
2375:
2149:
2077:
2057:
2017:
1886:
1848:
1790:
1540:
1440:
1418:
1099:
1034:(LEPO) is a European style call option with a low exercise price of $ 0.01.
603:
361:
346:
243:
376:
that would lower its value by more than the option's remaining time value.
2256:
2124:
2095:
2091:
2042:
1833:
1828:
1413:
1378:
843:
640:
636:
403:
399:
365:
311:
164:
62:". Options where the payoff is calculated differently are categorized as
1054:
635:
with a strike denominated in another currency. For example, a standard
2580:
2216:
2211:
1977:
1863:
1674:
1595:
1465:
422:
384:
380:
216:
1770:
1692:
1450:
1445:
434:
350:
1587:
1520:
http://www.bus.lsu.edu/academics/finance/faculty/dchance/Essay16.pdf
2340:
2062:
1959:
1780:
1423:
632:
521:
when the underlying security closes at a price making the option's
470:
430:
391:
373:
1351:
462:
2595:
862:
850:
of the two currencies involved and the underlying stock price.
1129:
1300:
is an option whose strike price is determined in the future.
1002:
is an option on the weighted average of several underlyings.
835:{\displaystyle FX_{T}\cdot {\text{JPY}}=1\cdot {\text{USD}}}
1630:
Paul Wilmott (25 October 2013). "Chapter 25 section 25.1".
1326:
433:
used as the strike is often expected to lose value through
426:
342:
for a discussion of when it makes sense to exercise early.
54:(style) options. These optionsâas well as others where the
481:. Most exotic interest rate options are of Bermudan style.
98:
of the option, i.e. at a single pre-defined point in time.
1128:
They were named 'Asian' because their creators were in
1214:
944:
931:{\displaystyle \max((S-K),0)FX_{0}\cdot {\text{JPY}}}
876:
796:
766:
753:{\displaystyle \max((S-K),0)FX_{T}\cdot {\text{JPY}}}
698:
649:
252:
228:
174:
122:
1229:
1533:Evergreen, bank funding & liquidity management
960:
930:
834:
782:
752:
684:
555:price at maturity to calculate their final payoff.
258:
234:
207:
155:
70:. Exotic options can pose challenging problems in
2613:
877:
699:
650:
372:is often exercised just before the stock pays a
276:are mainly American-style, whereas those traded
175:
123:
113:For both, the payoffâwhen it occursâis given by
81:
631:) is an option on some underlying asset in one
612:only in the calculation of their payoff value:
604:"Exotic" options with standard exercise styles
473:might confer the opportunity to enter into an
441:
1708:
1154:
685:{\displaystyle \max(S-K,0)\cdot {\text{USD}}}
1629:
1022:
414:) may be exercised immediately if ITM and a
202:
178:
150:
126:
58:is calculated similarlyâare referred to as "
1168:
1055:Non-vanilla path-dependent "exotic" options
266:is the spot price of the underlying asset.
1715:
1701:
790:is the prevailing exchange rate, that is,
46:. The vast majority of options are either
1566:
1560:
1132:when they created the first pricing model
27:Class in which an option falls in finance
1200:
353:the more complex American option model.
2540:Power reverse dual-currency note (PRDC)
2480:Constant proportion portfolio insurance
1316:is a sequence of forward start options.
1290:
383:will usually be exercised early if the
14:
2614:
1722:
1530:
1110:There are two types of Asian options:
503:
297:
105:on the other hand may be exercised at
1696:
1656:
1535:, Pg 204-5: University of Newcastle,
302:Assuming an arbitrage-free market, a
2475:Collateralized debt obligation (CDO)
1633:Paul Wilmott on Quantitative Finance
615:
588:
24:
1222:cumulative Parisian barrier option
1215:Cumulative Parisian barrier option
1066:
972:
529:
450:
286:
25:
2633:
1304:
1274:
1186:
1121:Asian options were originated in
1006:
2594:
1567:Rogers, L.C.G.; Shi, Z. (1995),
1258:
1237:standard Parisian barrier option
1230:Standard Parisian barrier option
1038:
990:
854:
639:on IBM, which is denominated in
559:
485:
109:time before the expiration date.
1091:
573:
544:
208:{\displaystyle \max\{(K-S),0\}}
156:{\displaystyle \max\{(S-K),0\}}
2302:Year-on-year inflation-indexed
1650:
1623:
1576:Journal of Applied Probability
1569:"The Value of an Asian Option"
1524:
1513:
1488:
1362:Monte Carlo methods in finance
1182:above or below a strike price.
1136:
904:
895:
883:
880:
726:
717:
705:
702:
671:
653:
193:
181:
141:
129:
13:
1:
2312:Zero-coupon inflation-indexed
1481:
304:partial differential equation
94:may be exercised only at the
82:American and European options
1531:Gooley, Nathan John (2015),
340:early exercise consideration
7:
2515:Foreign exchange derivative
1907:Callable bull/bear contract
1399:Interest rate cap and floor
1389:Exotic interest rate option
1320:
1244:
525:match the specified amount.
442:Less common exercise rights
387:asset files for bankruptcy.
332:finance's unsolved problems
10:
2638:
1500:www.global-derivatives.com
1434:
1367:
1162:cumulative Parisian option
1155:Cumulative Parisian option
467:British overseas territory
2589:
2548:
2467:
2424:
2416:Stock market index future
2320:
2197:
2105:
1968:
1877:
1814:
1748:
1739:
1730:
1636:. John Wiley & Sons.
1031:Low Exercise Price Option
1023:Low Exercise Price Option
2535:Mortgage-backed security
2530:Interest rate derivative
2505:Equity-linked note (ELN)
2490:Credit-linked note (CLN)
1552:: CS1 maint: location (
1496:"global-derivatives.com"
1176:standard Parisian option
1169:Standard Parisian option
322:by Cox-Ross-Rubinstein,
2485:Contract for difference
1786:Risk-free interest rate
1663:Finance and Stochastics
1394:Foreign exchange option
519:automatically exercised
2267:Forward Rate Agreement
962:
961:{\displaystyle FX_{0}}
932:
836:
784:
783:{\displaystyle FX_{T}}
754:
686:
320:binomial options model
308:Black-Scholes equation
260:
236:
209:
157:
2495:Credit default option
1839:Employee stock option
1384:Credit default option
1208:double barrier option
1201:Double barrier option
1116:Average Strike Option
963:
933:
837:
785:
755:
687:
324:Black's approximation
316:Black-Scholes formula
280:are mainly European.
261:
237:
210:
158:
2449:Inflation derivative
2434:Commodity derivative
2406:Single-stock futures
2396:Normal backwardation
2386:Interest rate future
2227:Conditional variance
1733:Derivative (finance)
1657:Kifer, Yuri (2000).
1347:Financial instrument
1332:Derivative (finance)
1298:forward start option
1291:Forward start option
1112:Average Price Option
942:
874:
794:
764:
696:
647:
338:the time value. See
250:
226:
172:
120:
2601:Business portal
2454:Property derivative
1342:Financial economics
1337:Derivatives markets
1114:(fixed strike) and
511:capped-style option
504:Capped-style option
479:Swaption: Valuation
298:Difference in value
2459:Weather derivative
2444:Freight derivative
2426:Exotic derivatives
2346:Commodities future
2033:Intermarket spread
1796:Synthetic position
1724:Derivatives market
1675:10.1007/PL00013527
1404:Options on futures
1118:(floating strike).
958:
928:
832:
780:
750:
682:
540:at final maturity.
475:interest rate swap
256:
232:
205:
153:
2622:Options (finance)
2609:
2608:
2510:Equity derivative
2500:Credit derivative
2468:Other derivatives
2439:Energy derivative
2401:Perpetual futures
2282:Overnight indexed
2232:Constant maturity
2193:
2192:
2140:Finite difference
2073:Protective option
1643:978-1-118-83683-5
1461:Option time value
1357:Futures contracts
1123:commodity markets
926:
830:
816:
748:
680:
515:interest rate cap
412:convertible bonds
274:futures exchanges
259:{\displaystyle S}
235:{\displaystyle K}
16:(Redirected from
2629:
2599:
2598:
2371:Forwards pricing
2145:GarmanâKohlhagen
1746:
1745:
1717:
1710:
1703:
1694:
1693:
1687:
1686:
1654:
1648:
1647:
1627:
1621:
1620:
1619:
1618:
1612:
1606:, archived from
1582:(4): 1077â1088,
1573:
1564:
1558:
1557:
1551:
1543:
1528:
1522:
1517:
1511:
1510:
1508:
1506:
1492:
1456:Option (finance)
1174:The payoff of a
1160:The payoff of a
967:
965:
964:
959:
957:
956:
937:
935:
934:
929:
927:
924:
919:
918:
841:
839:
838:
833:
831:
828:
817:
814:
809:
808:
789:
787:
786:
781:
779:
778:
759:
757:
756:
751:
749:
746:
741:
740:
691:
689:
688:
683:
681:
678:
629:composite option
616:Composite option
596:evergreen option
589:Evergreen option
278:over-the-counter
270:Option contracts
265:
263:
262:
257:
241:
239:
238:
233:
214:
212:
211:
206:
162:
160:
159:
154:
30:In finance, the
21:
2637:
2636:
2632:
2631:
2630:
2628:
2627:
2626:
2612:
2611:
2610:
2605:
2593:
2585:
2571:Great Recession
2566:Government debt
2544:
2520:Fund derivative
2463:
2420:
2381:Futures pricing
2356:Dividend future
2351:Currency future
2334:
2316:
2189:
2165:Putâcall parity
2101:
2088:Vertical spread
2023:Diagonal spread
1993:Calendar spread
1964:
1873:
1810:
1735:
1726:
1721:
1691:
1690:
1655:
1651:
1644:
1628:
1624:
1616:
1614:
1610:
1588:10.2307/3215221
1571:
1565:
1561:
1545:
1544:
1541:1959.13/1310643
1529:
1525:
1518:
1514:
1504:
1502:
1494:
1493:
1489:
1484:
1471:Putâcall parity
1437:
1370:
1323:
1307:
1293:
1277:
1261:
1247:
1232:
1217:
1203:
1189:
1171:
1157:
1139:
1094:
1074:lookback option
1069:
1067:Lookback option
1059:The following "
1057:
1041:
1025:
1009:
993:
980:exchange option
975:
973:Exchange option
952:
948:
943:
940:
939:
923:
914:
910:
875:
872:
871:
857:
827:
813:
804:
800:
795:
792:
791:
774:
770:
765:
762:
761:
745:
736:
732:
697:
694:
693:
677:
648:
645:
644:
618:
606:
591:
576:
562:
547:
537:compound option
532:
530:Compound option
506:
488:
458:Bermudan option
453:
451:Bermudan option
444:
300:
289:
287:Expiration date
251:
248:
247:
227:
224:
223:
173:
170:
169:
121:
118:
117:
103:American option
96:expiration date
92:European option
84:
60:vanilla options
28:
23:
22:
18:American option
15:
12:
11:
5:
2635:
2625:
2624:
2607:
2606:
2604:
2603:
2590:
2587:
2586:
2584:
2583:
2578:
2576:Municipal debt
2573:
2568:
2563:
2561:Corporate debt
2558:
2552:
2550:
2546:
2545:
2543:
2542:
2537:
2532:
2527:
2522:
2517:
2512:
2507:
2502:
2497:
2492:
2487:
2482:
2477:
2471:
2469:
2465:
2464:
2462:
2461:
2456:
2451:
2446:
2441:
2436:
2430:
2428:
2422:
2421:
2419:
2418:
2413:
2408:
2403:
2398:
2393:
2388:
2383:
2378:
2373:
2368:
2363:
2361:Forward market
2358:
2353:
2348:
2343:
2337:
2335:
2333:
2332:
2327:
2321:
2318:
2317:
2315:
2314:
2309:
2304:
2299:
2294:
2289:
2284:
2279:
2274:
2269:
2264:
2259:
2254:
2249:
2244:
2242:Credit default
2239:
2234:
2229:
2224:
2219:
2214:
2209:
2203:
2201:
2195:
2194:
2191:
2190:
2188:
2187:
2182:
2177:
2172:
2167:
2162:
2157:
2152:
2147:
2142:
2137:
2127:
2122:
2117:
2111:
2109:
2103:
2102:
2100:
2099:
2085:
2080:
2075:
2070:
2065:
2060:
2055:
2050:
2045:
2040:
2038:Iron butterfly
2035:
2030:
2025:
2020:
2015:
2010:
2008:Covered option
2005:
2000:
1995:
1990:
1985:
1980:
1974:
1972:
1966:
1965:
1963:
1962:
1957:
1952:
1947:
1946:Mountain range
1944:
1939:
1934:
1929:
1924:
1919:
1914:
1909:
1904:
1899:
1894:
1889:
1883:
1881:
1875:
1874:
1872:
1871:
1866:
1861:
1856:
1851:
1846:
1841:
1836:
1831:
1826:
1820:
1818:
1812:
1811:
1809:
1808:
1803:
1798:
1793:
1788:
1783:
1778:
1773:
1768:
1763:
1758:
1752:
1750:
1743:
1737:
1736:
1731:
1728:
1727:
1720:
1719:
1712:
1705:
1697:
1689:
1688:
1669:(4): 443â463.
1659:"Game options"
1649:
1642:
1622:
1559:
1523:
1512:
1486:
1485:
1483:
1480:
1479:
1478:
1476:Smooth pasting
1473:
1468:
1463:
1458:
1453:
1448:
1443:
1436:
1433:
1432:
1431:
1426:
1421:
1416:
1411:
1409:Rainbow option
1406:
1401:
1396:
1391:
1386:
1381:
1376:
1369:
1366:
1365:
1364:
1359:
1354:
1349:
1344:
1339:
1334:
1329:
1322:
1319:
1318:
1317:
1313:cliquet option
1306:
1305:Cliquet option
1303:
1302:
1301:
1292:
1289:
1288:
1287:
1283:chooser option
1276:
1275:Chooser option
1273:
1272:
1271:
1260:
1257:
1256:
1255:
1246:
1243:
1242:
1241:
1231:
1228:
1227:
1226:
1216:
1213:
1212:
1211:
1202:
1199:
1198:
1197:
1194:barrier option
1188:
1187:Barrier option
1185:
1184:
1183:
1170:
1167:
1166:
1165:
1156:
1153:
1152:
1151:
1148:Israeli option
1138:
1135:
1134:
1133:
1126:
1119:
1108:
1105:average option
1093:
1090:
1089:
1088:
1085:Russian option
1081:
1078:path dependent
1068:
1065:
1061:exotic options
1056:
1053:
1052:
1051:
1040:
1037:
1036:
1035:
1024:
1021:
1020:
1019:
1015:rainbow option
1008:
1007:Rainbow option
1005:
1004:
1003:
992:
989:
988:
987:
974:
971:
970:
969:
955:
951:
947:
922:
917:
913:
909:
906:
903:
900:
897:
894:
891:
888:
885:
882:
879:
870:would then be
856:
853:
852:
851:
826:
823:
820:
812:
807:
803:
799:
777:
773:
769:
744:
739:
735:
731:
728:
725:
722:
719:
716:
713:
710:
707:
704:
701:
676:
673:
670:
667:
664:
661:
658:
655:
652:
617:
614:
610:vanilla option
605:
602:
601:
600:
590:
587:
586:
585:
575:
572:
571:
570:
561:
558:
557:
556:
546:
543:
542:
541:
531:
528:
527:
526:
523:mark to market
505:
502:
501:
500:
497:Canary Islands
487:
484:
483:
482:
452:
449:
443:
440:
439:
438:
419:
410:(such as some
396:
388:
377:
299:
296:
288:
285:
255:
231:
220:
219:
204:
201:
198:
195:
192:
189:
186:
183:
180:
177:
167:
152:
149:
146:
143:
140:
137:
134:
131:
128:
125:
111:
110:
99:
83:
80:
66:exotic options
26:
9:
6:
4:
3:
2:
2634:
2623:
2620:
2619:
2617:
2602:
2597:
2592:
2591:
2588:
2582:
2579:
2577:
2574:
2572:
2569:
2567:
2564:
2562:
2559:
2557:
2556:Consumer debt
2554:
2553:
2551:
2549:Market issues
2547:
2541:
2538:
2536:
2533:
2531:
2528:
2526:
2525:Fund of funds
2523:
2521:
2518:
2516:
2513:
2511:
2508:
2506:
2503:
2501:
2498:
2496:
2493:
2491:
2488:
2486:
2483:
2481:
2478:
2476:
2473:
2472:
2470:
2466:
2460:
2457:
2455:
2452:
2450:
2447:
2445:
2442:
2440:
2437:
2435:
2432:
2431:
2429:
2427:
2423:
2417:
2414:
2412:
2409:
2407:
2404:
2402:
2399:
2397:
2394:
2392:
2389:
2387:
2384:
2382:
2379:
2377:
2374:
2372:
2369:
2367:
2366:Forward price
2364:
2362:
2359:
2357:
2354:
2352:
2349:
2347:
2344:
2342:
2339:
2338:
2336:
2331:
2328:
2326:
2323:
2322:
2319:
2313:
2310:
2308:
2305:
2303:
2300:
2298:
2295:
2293:
2290:
2288:
2285:
2283:
2280:
2278:
2277:Interest rate
2275:
2273:
2270:
2268:
2265:
2263:
2260:
2258:
2255:
2253:
2250:
2248:
2245:
2243:
2240:
2238:
2235:
2233:
2230:
2228:
2225:
2223:
2220:
2218:
2215:
2213:
2210:
2208:
2205:
2204:
2202:
2200:
2196:
2186:
2183:
2181:
2178:
2176:
2173:
2171:
2170:MC Simulation
2168:
2166:
2163:
2161:
2158:
2156:
2153:
2151:
2148:
2146:
2143:
2141:
2138:
2135:
2131:
2130:BlackâScholes
2128:
2126:
2123:
2121:
2118:
2116:
2113:
2112:
2110:
2108:
2104:
2097:
2093:
2089:
2086:
2084:
2083:Risk reversal
2081:
2079:
2076:
2074:
2071:
2069:
2066:
2064:
2061:
2059:
2056:
2054:
2051:
2049:
2046:
2044:
2041:
2039:
2036:
2034:
2031:
2029:
2026:
2024:
2021:
2019:
2016:
2014:
2013:Credit spread
2011:
2009:
2006:
2004:
2001:
1999:
1996:
1994:
1991:
1989:
1986:
1984:
1981:
1979:
1976:
1975:
1973:
1971:
1967:
1961:
1958:
1956:
1953:
1951:
1948:
1945:
1943:
1940:
1938:
1937:Interest rate
1935:
1933:
1932:Forward start
1930:
1928:
1925:
1923:
1920:
1918:
1915:
1913:
1910:
1908:
1905:
1903:
1900:
1898:
1895:
1893:
1890:
1888:
1885:
1884:
1882:
1880:
1876:
1870:
1867:
1865:
1862:
1860:
1859:Option styles
1857:
1855:
1852:
1850:
1847:
1845:
1842:
1840:
1837:
1835:
1832:
1830:
1827:
1825:
1822:
1821:
1819:
1817:
1813:
1807:
1804:
1802:
1799:
1797:
1794:
1792:
1789:
1787:
1784:
1782:
1779:
1777:
1776:Open interest
1774:
1772:
1769:
1767:
1764:
1762:
1759:
1757:
1756:Delta neutral
1754:
1753:
1751:
1747:
1744:
1742:
1738:
1734:
1729:
1725:
1718:
1713:
1711:
1706:
1704:
1699:
1698:
1695:
1684:
1680:
1676:
1672:
1668:
1664:
1660:
1653:
1645:
1639:
1635:
1634:
1626:
1613:on 2009-03-20
1609:
1605:
1601:
1597:
1593:
1589:
1585:
1581:
1577:
1570:
1563:
1555:
1549:
1542:
1538:
1534:
1527:
1521:
1516:
1501:
1497:
1491:
1487:
1477:
1474:
1472:
1469:
1467:
1464:
1462:
1459:
1457:
1454:
1452:
1449:
1447:
1444:
1442:
1439:
1438:
1430:
1427:
1425:
1422:
1420:
1417:
1415:
1412:
1410:
1407:
1405:
1402:
1400:
1397:
1395:
1392:
1390:
1387:
1385:
1382:
1380:
1377:
1375:
1374:Binary option
1372:
1371:
1363:
1360:
1358:
1355:
1353:
1350:
1348:
1345:
1343:
1340:
1338:
1335:
1333:
1330:
1328:
1325:
1324:
1315:
1314:
1309:
1308:
1299:
1295:
1294:
1285:
1284:
1279:
1278:
1269:
1268:
1267:binary option
1263:
1262:
1259:Binary option
1253:
1249:
1248:
1238:
1234:
1233:
1223:
1219:
1218:
1209:
1205:
1204:
1195:
1191:
1190:
1181:
1180:consecutively
1177:
1173:
1172:
1163:
1159:
1158:
1149:
1145:
1141:
1140:
1131:
1127:
1124:
1120:
1117:
1113:
1109:
1106:
1102:
1101:
1096:
1095:
1086:
1082:
1079:
1075:
1071:
1070:
1064:
1062:
1049:
1048:
1047:Boston option
1043:
1042:
1039:Boston option
1033:
1032:
1027:
1026:
1017:
1016:
1011:
1010:
1001:
1000:
999:basket option
995:
994:
991:Basket option
985:
981:
977:
976:
953:
949:
945:
920:
915:
911:
907:
901:
898:
892:
889:
886:
868:
865:
864:
859:
858:
855:Quanto option
849:
848:exchange rate
845:
824:
821:
818:
810:
805:
801:
797:
775:
771:
767:
742:
737:
733:
729:
723:
720:
714:
711:
708:
674:
668:
665:
662:
659:
656:
642:
638:
634:
630:
626:
625:
620:
619:
613:
611:
597:
593:
592:
582:
578:
577:
568:
567:double option
564:
563:
560:Double option
553:
549:
548:
538:
534:
533:
524:
520:
516:
512:
508:
507:
498:
494:
493:Canary option
490:
489:
486:Canary option
480:
476:
472:
468:
464:
459:
455:
454:
448:
436:
432:
428:
424:
420:
417:
413:
409:
405:
401:
397:
393:
389:
386:
382:
378:
375:
371:
367:
363:
359:
358:
357:
354:
352:
348:
343:
341:
335:
333:
329:
325:
321:
317:
313:
309:
306:known as the
305:
295:
292:
284:
281:
279:
275:
271:
267:
253:
245:
229:
218:
199:
196:
190:
187:
184:
168:
166:
147:
144:
138:
135:
132:
116:
115:
114:
108:
104:
100:
97:
93:
89:
88:
87:
79:
77:
73:
69:
67:
61:
57:
53:
49:
45:
41:
37:
33:
19:
2376:Forward rate
2287:Total return
2175:Real options
2078:Ratio spread
2058:Naked option
2018:Debit spread
1858:
1849:Fixed income
1791:Strike price
1666:
1662:
1652:
1632:
1625:
1615:, retrieved
1608:the original
1579:
1575:
1562:
1532:
1526:
1515:
1503:. Retrieved
1499:
1490:
1441:Covered call
1419:Stock option
1311:
1281:
1265:
1251:
1236:
1221:
1207:
1193:
1179:
1175:
1161:
1147:
1143:
1115:
1111:
1104:
1100:Asian option
1098:
1092:Asian option
1084:
1073:
1058:
1045:
1029:
1013:
997:
979:
866:
861:
846:between the
628:
624:cross option
622:
607:
595:
581:swing option
580:
574:Swing option
566:
552:shout option
551:
545:Shout option
536:
518:
510:
492:
457:
445:
398:An American
362:in the money
355:
347:strike price
344:
336:
301:
293:
290:
282:
268:
244:strike price
221:
112:
106:
102:
95:
91:
85:
63:
51:
47:
35:
31:
29:
2307:Zero Coupon
2237:Correlation
2185:VannaâVolga
2043:Iron condor
1829:Bond option
1414:Real option
1379:Bond option
1144:game option
1137:Game option
844:correlation
637:call option
404:dirty price
400:bond option
390:A deep ITM
366:call option
312:Black model
165:call option
2581:Tax policy
2297:Volatility
2207:Amortising
2048:Jelly roll
1983:Box spread
1978:Backspread
1970:Strategies
1806:Volatility
1801:the Greeks
1766:Expiration
1617:2008-11-15
1482:References
1466:Put option
1240:exercised.
1225:exercised.
513:is not an
423:put option
385:underlying
381:put option
330:is one of
328:volatility
272:traded on
217:put option
2272:Inflation
2222:Commodity
2180:Trinomial
2115:Bachelier
2107:Valuation
1988:Butterfly
1922:Commodore
1771:Moneyness
1604:120793076
1451:Naked put
1446:Moneyness
921:⋅
890:−
825:⋅
811:⋅
743:⋅
712:−
675:⋅
660:−
435:inflation
351:calibrate
188:−
136:−
72:valuation
44:exercised
2616:Category
2411:Slippage
2341:Contango
2325:Forwards
2292:Variance
2252:Dividend
2247:Currency
2160:Margrabe
2155:Lattices
2134:equation
2120:Binomial
2068:Strangle
2063:Straddle
1960:Swaption
1942:Lookback
1927:Compound
1869:Warrants
1844:European
1824:American
1816:Vanillas
1781:Pin risk
1761:Exercise
1683:32671470
1548:citation
1505:12 April
1424:Swaption
1321:See also
1252:reoption
1245:Reoption
938:, where
760:, where
633:currency
471:swaption
431:currency
392:currency
374:dividend
215:, for a
163:, for a
52:American
48:European
2330:Futures
1950:Rainbow
1917:Cliquet
1912:Chooser
1892:Barrier
1879:Exotics
1741:Options
1596:3215221
1435:Related
1429:Warrant
1368:Options
1352:Finance
643:, pays
641:dollars
463:Bermuda
418:is due.
402:on the
395:strike.
242:is the
76:hedging
2391:Margin
2257:Equity
2150:Heston
2053:Ladder
2003:Condor
1998:Collar
1955:Spread
1902:Binary
1897:Basket
1681:
1640:
1602:
1594:
867:option
863:quanto
416:coupon
364:(ITM)
222:where
56:payoff
40:option
38:of an
36:family
32:style
2262:Forex
2217:Basis
2212:Asset
2199:Swaps
2125:Black
2028:Fence
1887:Asian
1749:Terms
1679:S2CID
1611:(PDF)
1600:S2CID
1592:JSTOR
1572:(PDF)
1130:Tokyo
1076:is a
406:of a
370:stock
368:on a
2096:Bull
2092:Bear
1834:Call
1638:ISBN
1554:link
1507:2018
1327:CBOE
1103:(or
984:bond
627:(or
465:, a
427:gold
408:bond
246:and
74:and
1864:Put
1671:doi
1584:doi
1537:hdl
1146:or
1097:An
978:An
925:JPY
878:max
829:USD
815:JPY
747:JPY
700:max
679:USD
651:max
594:An
425:on
360:An
176:max
124:max
107:any
101:An
50:or
34:or
2618::
2094:,
1854:FX
1677:.
1665:.
1661:.
1598:,
1590:,
1580:32
1578:,
1574:,
1550:}}
1546:{{
1498:.
1310:A
1296:A
1280:A
1264:A
1250:A
1235:A
1220:A
1206:A
1192:A
1142:A
1083:A
1072:A
1044:A
1028:A
1012:A
996:A
986:).
860:A
621:A
579:A
565:A
550:A
535:A
509:A
491:A
456:A
421:A
379:A
334:.
90:A
78:.
2136:)
2132:(
2098:)
2090:(
1716:e
1709:t
1702:v
1685:.
1673::
1667:4
1646:.
1586::
1556:)
1539::
1509:.
954:0
950:X
946:F
916:0
912:X
908:F
905:)
902:0
899:,
896:)
893:K
887:S
884:(
881:(
822:1
819:=
806:T
802:X
798:F
776:T
772:X
768:F
738:T
734:X
730:F
727:)
724:0
721:,
718:)
715:K
709:S
706:(
703:(
672:)
669:0
666:,
663:K
657:S
654:(
254:S
230:K
203:}
200:0
197:,
194:)
191:S
185:K
182:(
179:{
151:}
148:0
145:,
142:)
139:K
133:S
130:(
127:{
68:"
64:"
20:)
Text is available under the Creative Commons Attribution-ShareAlike License. Additional terms may apply.