588:
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.
2585:
338:, 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
488:.) 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.
543:
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
449:
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:
326:
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
528:
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
858:
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
587:
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'
572:
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
383:
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
1096:) 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).
466:. 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
1052:" 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:
1228:
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
307:. 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,
435:
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:
1213:
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
829:
558:
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.
345:
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:
925:
747:
280:
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.
283:
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.
679:
1557:
957:
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.
458:, 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
202:
150:
1007:
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.
955:
777:
253:
229:
2422:
2334:
1199:
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.
272:
Most stock and equity options are
American options, while indexes are generally represented by European options. Commodity options can be either style.
426:
if the holder waits until final maturity to exercise the option (they will almost certainly exercise a contract deep ITM, minimizing its time value).
299:
can be derived to describe the prices of derivative securities as a function of few parameters. Under simplifying assumptions of the widely adopted
484:
is an option whose exercise style lies somewhere between
European options and Bermudian options. (The name refers to the relative geography of the
1139:
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.
612:
1185:
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.
1069:
option where the option owner has the right to buy (sell) the underlying instrument at its lowest (highest) price over some preceding period.
2128:
1703:
1259:(also known as a digital option) pays a fixed amount, or nothing at all, depending on the price of the underlying instrument at maturity.
2133:
1596:
1243:
occurs when a contract has expired without having been exercised. The owner of the underlying security may then reoption the security.
315:
and others; there is no consensus on which is preferable). Obtaining a general formula for American options without assuming constant
782:
2468:
2158:
1630:
862:
684:
320:
2290:
1484:
1076:
is a lookback option that runs for perpetuity. That is, there is no end to the period into which the owner can look back.
831:
on the exercise date. The pricing of such options naturally needs to take into account exchange rate volatility and the
2026:
2528:
1696:
635:
1114:
to prevent option traders from attempting to manipulate the price of the underlying security on the exercise date.
2463:
2108:
1350:
681:(where S is the stock price at maturity and K is the strike price). A composite stock option might instead pay
328:
292:
1153:
is dependent on the total amount of time the underlying asset value has spent above or below a strike price.
506:
but a conventional option with a pre-defined profit cap written into the contract. A capped-style option is
1542:
1275:
gives the purchaser a fixed period of time to decide whether the derivative will be a vanilla call or put.
2503:
2041:
1895:
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1387:
1377:
2610:
2359:
2300:
2122:
1508:
455:
266:
75:
The key difference between American and European options relates to when the options can be exercised:
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108:
44:
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2518:
597:
These options can be exercised either European style or American style; they differ from the plain
312:
31:
is the class into which the option falls, usually defined by the dates on which the option may be
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2173:
2143:
2118:
2001:
1842:
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2255:
2220:
2163:
308:
296:
2483:
2250:
2148:
1827:
1372:
316:
304:
60:
930:
752:
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2095:
2036:
1971:
1925:
1920:
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1721:
1335:
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303:, the Black-Scholes equation for European options has a closed-form solution known as the
8:
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2230:
2153:
1976:
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will be exercised early when deep ITM, because gold tends to hold its value whereas the
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2056:
2021:
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1749:
1712:
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1325:
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is the right to exchange one asset for another (such as a sugar future for a corporate
463:
238:
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32:
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2414:
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1111:
503:
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2313:
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1991:
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400:
262:
28:
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2195:
2103:
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2011:
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1832:
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is an American option but with premium deferred until the option expiration date.
334:
Where an American and a European option are otherwise identical (having the same
258:
64:
1167:
is dependent on the maximum amount of time the underlying asset value has spent
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2349:
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2210:
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987:
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467:
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573:"swing" the price of the underlying asset. Primarily used in energy trading.
2364:
2138:
2066:
2046:
2006:
1875:
1837:
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1429:
1407:
1088:
1023:(LEPO) is a European style call option with a low exercise price of $ 0.01.
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350:
335:
232:
365:
that would lower its value by more than the option's remaining time value.
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625:
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354:
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153:
51:". Options where the payoff is calculated differently are categorized as
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with a strike denominated in another currency. For example, a standard
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1509:
http://www.bus.lsu.edu/academics/finance/faculty/dchance/Essay16.pdf
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when the underlying security closes at a price making the option's
459:
419:
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362:
1340:
451:
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851:
839:
of the two currencies involved and the underlying stock price.
1118:
1289:
is an option whose strike price is determined in the future.
991:
is an option on the weighted average of several underlyings.
824:{\displaystyle FX_{T}\cdot {\text{JPY}}=1\cdot {\text{USD}}}
1619:
Paul Wilmott (25 October 2013). "Chapter 25 section 25.1".
1315:
422:
used as the strike is often expected to lose value through
415:
331:
for a discussion of when it makes sense to exercise early.
43:(style) options. These optionsâas well as others where the
470:. Most exotic interest rate options are of Bermudan style.
87:
of the option, i.e. at a single pre-defined point in time.
1117:
They were named 'Asian' because their creators were in
1203:
933:
920:{\displaystyle \max((S-K),0)FX_{0}\cdot {\text{JPY}}}
865:
785:
755:
742:{\displaystyle \max((S-K),0)FX_{T}\cdot {\text{JPY}}}
687:
638:
241:
217:
163:
111:
1218:
1522:Evergreen, bank funding & liquidity management
949:
919:
823:
771:
741:
673:
544:price at maturity to calculate their final payoff.
247:
223:
196:
144:
59:. Exotic options can pose challenging problems in
2602:
866:
688:
639:
361:is often exercised just before the stock pays a
265:are mainly American-style, whereas those traded
164:
112:
102:For both, the payoffâwhen it occursâis given by
70:
620:) is an option on some underlying asset in one
601:only in the calculation of their payoff value:
593:"Exotic" options with standard exercise styles
462:might confer the opportunity to enter into an
430:
1697:
1143:
674:{\displaystyle \max(S-K,0)\cdot {\text{USD}}}
1618:
1011:
403:) may be exercised immediately if ITM and a
191:
167:
139:
115:
47:is calculated similarlyâare referred to as "
1157:
1044:Non-vanilla path-dependent "exotic" options
255:is the spot price of the underlying asset.
1704:
1690:
779:is the prevailing exchange rate, that is,
35:. The vast majority of options are either
1555:
1549:
1121:when they created the first pricing model
16:Class in which an option falls in finance
1189:
342:the more complex American option model.
2529:Power reverse dual-currency note (PRDC)
2469:Constant proportion portfolio insurance
1305:is a sequence of forward start options.
1279:
372:will usually be exercised early if the
2603:
1711:
1519:
1099:There are two types of Asian options:
492:
286:
94:on the other hand may be exercised at
1685:
1645:
1524:, Pg 204-5: University of Newcastle,
291:Assuming an arbitrage-free market, a
2464:Collateralized debt obligation (CDO)
1622:Paul Wilmott on Quantitative Finance
604:
577:
13:
1211:cumulative Parisian barrier option
1204:Cumulative Parisian barrier option
1055:
961:
518:
439:
275:
14:
2622:
1293:
1263:
1175:
1110:Asian options were originated in
995:
2583:
1556:Rogers, L.C.G.; Shi, Z. (1995),
1247:
1226:standard Parisian barrier option
1219:Standard Parisian barrier option
1027:
979:
843:
628:on IBM, which is denominated in
548:
474:
98:time before the expiration date.
1080:
562:
533:
197:{\displaystyle \max\{(K-S),0\}}
145:{\displaystyle \max\{(S-K),0\}}
2291:Year-on-year inflation-indexed
1639:
1612:
1565:Journal of Applied Probability
1558:"The Value of an Asian Option"
1513:
1502:
1477:
1351:Monte Carlo methods in finance
1171:above or below a strike price.
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182:
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1:
2301:Zero-coupon inflation-indexed
1470:
293:partial differential equation
83:may be exercised only at the
71:American and European options
1520:Gooley, Nathan John (2015),
329:early exercise consideration
7:
2504:Foreign exchange derivative
1896:Callable bull/bear contract
1388:Interest rate cap and floor
1378:Exotic interest rate option
1309:
1233:
514:match the specified amount.
431:Less common exercise rights
376:asset files for bankruptcy.
321:finance's unsolved problems
10:
2627:
1489:www.global-derivatives.com
1423:
1356:
1151:cumulative Parisian option
1144:Cumulative Parisian option
456:British overseas territory
2578:
2537:
2456:
2413:
2405:Stock market index future
2309:
2186:
2094:
1957:
1866:
1803:
1737:
1728:
1719:
1625:. John Wiley & Sons.
1020:Low Exercise Price Option
1012:Low Exercise Price Option
2524:Mortgage-backed security
2519:Interest rate derivative
2494:Equity-linked note (ELN)
2479:Credit-linked note (CLN)
1541:: CS1 maint: location (
1485:"global-derivatives.com"
1165:standard Parisian option
1158:Standard Parisian option
311:by Cox-Ross-Rubinstein,
2474:Contract for difference
1775:Risk-free interest rate
1652:Finance and Stochastics
1383:Foreign exchange option
508:automatically exercised
2256:Forward Rate Agreement
951:
950:{\displaystyle FX_{0}}
921:
825:
773:
772:{\displaystyle FX_{T}}
743:
675:
309:binomial options model
297:Black-Scholes equation
249:
225:
198:
146:
2484:Credit default option
1828:Employee stock option
1373:Credit default option
1197:double barrier option
1190:Double barrier option
1105:Average Strike Option
952:
922:
826:
774:
744:
676:
313:Black's approximation
305:Black-Scholes formula
269:are mainly European.
250:
226:
199:
147:
2438:Inflation derivative
2423:Commodity derivative
2395:Single-stock futures
2385:Normal backwardation
2375:Interest rate future
2216:Conditional variance
1722:Derivative (finance)
1646:Kifer, Yuri (2000).
1336:Financial instrument
1321:Derivative (finance)
1287:forward start option
1280:Forward start option
1101:Average Price Option
931:
863:
783:
753:
685:
636:
327:the time value. See
239:
215:
161:
109:
2590:Business portal
2443:Property derivative
1331:Financial economics
1326:Derivatives markets
1103:(fixed strike) and
500:capped-style option
493:Capped-style option
468:Swaption: Valuation
287:Difference in value
2448:Weather derivative
2433:Freight derivative
2415:Exotic derivatives
2335:Commodities future
2022:Intermarket spread
1785:Synthetic position
1713:Derivatives market
1664:10.1007/PL00013527
1393:Options on futures
1107:(floating strike).
947:
917:
821:
769:
739:
671:
529:at final maturity.
464:interest rate swap
245:
221:
194:
142:
2611:Options (finance)
2598:
2597:
2499:Equity derivative
2489:Credit derivative
2457:Other derivatives
2428:Energy derivative
2390:Perpetual futures
2271:Overnight indexed
2221:Constant maturity
2182:
2181:
2129:Finite difference
2062:Protective option
1632:978-1-118-83683-5
1450:Option time value
1346:Futures contracts
1112:commodity markets
915:
819:
805:
737:
669:
504:interest rate cap
401:convertible bonds
263:futures exchanges
248:{\displaystyle S}
224:{\displaystyle K}
2618:
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2360:Forwards pricing
2134:GarmanâKohlhagen
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1595:, archived from
1571:(4): 1077â1088,
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1445:Option (finance)
1163:The payoff of a
1149:The payoff of a
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618:composite option
605:Composite option
585:evergreen option
578:Evergreen option
267:over-the-counter
259:Option contracts
254:
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19:In finance, the
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2560:Great Recession
2555:Government debt
2533:
2509:Fund derivative
2452:
2409:
2370:Futures pricing
2345:Dividend future
2340:Currency future
2323:
2305:
2178:
2154:Putâcall parity
2090:
2077:Vertical spread
2012:Diagonal spread
1982:Calendar spread
1953:
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1577:10.2307/3215221
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1530:1959.13/1310643
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1460:Putâcall parity
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1128:
1083:
1063:lookback option
1058:
1056:Lookback option
1048:The following "
1046:
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998:
982:
969:exchange option
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962:Exchange option
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526:compound option
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519:Compound option
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447:Bermudan option
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440:Bermudan option
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278:
276:Expiration date
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110:
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92:American option
85:expiration date
81:European option
73:
49:vanilla options
17:
12:
11:
5:
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2303:
2298:
2293:
2288:
2283:
2278:
2273:
2268:
2263:
2258:
2253:
2248:
2243:
2238:
2233:
2231:Credit default
2228:
2223:
2218:
2213:
2208:
2203:
2198:
2192:
2190:
2184:
2183:
2180:
2179:
2177:
2176:
2171:
2166:
2161:
2156:
2151:
2146:
2141:
2136:
2131:
2126:
2116:
2111:
2106:
2100:
2098:
2092:
2091:
2089:
2088:
2074:
2069:
2064:
2059:
2054:
2049:
2044:
2039:
2034:
2029:
2027:Iron butterfly
2024:
2019:
2014:
2009:
2004:
1999:
1997:Covered option
1994:
1989:
1984:
1979:
1974:
1969:
1963:
1961:
1955:
1954:
1952:
1951:
1946:
1941:
1936:
1935:Mountain range
1933:
1928:
1923:
1918:
1913:
1908:
1903:
1898:
1893:
1888:
1883:
1878:
1872:
1870:
1864:
1863:
1861:
1860:
1855:
1850:
1845:
1840:
1835:
1830:
1825:
1820:
1815:
1809:
1807:
1801:
1800:
1798:
1797:
1792:
1787:
1782:
1777:
1772:
1767:
1762:
1757:
1752:
1747:
1741:
1739:
1732:
1726:
1725:
1720:
1717:
1716:
1709:
1708:
1701:
1694:
1686:
1678:
1677:
1658:(4): 443â463.
1648:"Game options"
1638:
1631:
1611:
1548:
1512:
1501:
1475:
1474:
1472:
1469:
1468:
1467:
1465:Smooth pasting
1462:
1457:
1452:
1447:
1442:
1437:
1432:
1425:
1422:
1421:
1420:
1415:
1410:
1405:
1400:
1398:Rainbow option
1395:
1390:
1385:
1380:
1375:
1370:
1365:
1358:
1355:
1354:
1353:
1348:
1343:
1338:
1333:
1328:
1323:
1318:
1311:
1308:
1307:
1306:
1302:cliquet option
1295:
1294:Cliquet option
1292:
1291:
1290:
1281:
1278:
1277:
1276:
1272:chooser option
1265:
1264:Chooser option
1262:
1261:
1260:
1249:
1246:
1245:
1244:
1235:
1232:
1231:
1230:
1220:
1217:
1216:
1215:
1205:
1202:
1201:
1200:
1191:
1188:
1187:
1186:
1183:barrier option
1177:
1176:Barrier option
1174:
1173:
1172:
1159:
1156:
1155:
1154:
1145:
1142:
1141:
1140:
1137:Israeli option
1127:
1124:
1123:
1122:
1115:
1108:
1097:
1094:average option
1082:
1079:
1078:
1077:
1074:Russian option
1070:
1067:path dependent
1057:
1054:
1050:exotic options
1045:
1042:
1041:
1040:
1029:
1026:
1025:
1024:
1013:
1010:
1009:
1008:
1004:rainbow option
997:
996:Rainbow option
994:
993:
992:
981:
978:
977:
976:
963:
960:
959:
958:
944:
940:
936:
911:
906:
902:
898:
895:
892:
889:
886:
883:
880:
877:
874:
871:
868:
859:would then be
845:
842:
841:
840:
815:
812:
809:
801:
796:
792:
788:
766:
762:
758:
733:
728:
724:
720:
717:
714:
711:
708:
705:
702:
699:
696:
693:
690:
665:
662:
659:
656:
653:
650:
647:
644:
641:
606:
603:
599:vanilla option
594:
591:
590:
589:
579:
576:
575:
574:
564:
561:
560:
559:
550:
547:
546:
545:
535:
532:
531:
530:
520:
517:
516:
515:
512:mark to market
494:
491:
490:
489:
486:Canary Islands
476:
473:
472:
471:
441:
438:
432:
429:
428:
427:
408:
399:(such as some
385:
377:
366:
288:
285:
277:
274:
244:
220:
209:
208:
193:
190:
187:
184:
181:
178:
175:
172:
169:
166:
156:
141:
138:
135:
132:
129:
126:
123:
120:
117:
114:
100:
99:
88:
72:
69:
55:exotic options
15:
9:
6:
4:
3:
2:
2623:
2612:
2609:
2608:
2606:
2591:
2586:
2581:
2580:
2577:
2571:
2568:
2566:
2563:
2561:
2558:
2556:
2553:
2551:
2548:
2546:
2545:Consumer debt
2543:
2542:
2540:
2538:Market issues
2536:
2530:
2527:
2525:
2522:
2520:
2517:
2515:
2514:Fund of funds
2512:
2510:
2507:
2505:
2502:
2500:
2497:
2495:
2492:
2490:
2487:
2485:
2482:
2480:
2477:
2475:
2472:
2470:
2467:
2465:
2462:
2461:
2459:
2455:
2449:
2446:
2444:
2441:
2439:
2436:
2434:
2431:
2429:
2426:
2424:
2421:
2420:
2418:
2416:
2412:
2406:
2403:
2401:
2398:
2396:
2393:
2391:
2388:
2386:
2383:
2381:
2378:
2376:
2373:
2371:
2368:
2366:
2363:
2361:
2358:
2356:
2355:Forward price
2353:
2351:
2348:
2346:
2343:
2341:
2338:
2336:
2333:
2331:
2328:
2327:
2325:
2320:
2317:
2315:
2312:
2311:
2308:
2302:
2299:
2297:
2294:
2292:
2289:
2287:
2284:
2282:
2279:
2277:
2274:
2272:
2269:
2267:
2266:Interest rate
2264:
2262:
2259:
2257:
2254:
2252:
2249:
2247:
2244:
2242:
2239:
2237:
2234:
2232:
2229:
2227:
2224:
2222:
2219:
2217:
2214:
2212:
2209:
2207:
2204:
2202:
2199:
2197:
2194:
2193:
2191:
2189:
2185:
2175:
2172:
2170:
2167:
2165:
2162:
2160:
2159:MC Simulation
2157:
2155:
2152:
2150:
2147:
2145:
2142:
2140:
2137:
2135:
2132:
2130:
2127:
2124:
2120:
2119:BlackâScholes
2117:
2115:
2112:
2110:
2107:
2105:
2102:
2101:
2099:
2097:
2093:
2086:
2082:
2078:
2075:
2073:
2072:Risk reversal
2070:
2068:
2065:
2063:
2060:
2058:
2055:
2053:
2050:
2048:
2045:
2043:
2040:
2038:
2035:
2033:
2030:
2028:
2025:
2023:
2020:
2018:
2015:
2013:
2010:
2008:
2005:
2003:
2002:Credit spread
2000:
1998:
1995:
1993:
1990:
1988:
1985:
1983:
1980:
1978:
1975:
1973:
1970:
1968:
1965:
1964:
1962:
1960:
1956:
1950:
1947:
1945:
1942:
1940:
1937:
1934:
1932:
1929:
1927:
1926:Interest rate
1924:
1922:
1921:Forward start
1919:
1917:
1914:
1912:
1909:
1907:
1904:
1902:
1899:
1897:
1894:
1892:
1889:
1887:
1884:
1882:
1879:
1877:
1874:
1873:
1871:
1869:
1865:
1859:
1856:
1854:
1851:
1849:
1848:Option styles
1846:
1844:
1841:
1839:
1836:
1834:
1831:
1829:
1826:
1824:
1821:
1819:
1816:
1814:
1811:
1810:
1808:
1806:
1802:
1796:
1793:
1791:
1788:
1786:
1783:
1781:
1778:
1776:
1773:
1771:
1768:
1766:
1765:Open interest
1763:
1761:
1758:
1756:
1753:
1751:
1748:
1746:
1745:Delta neutral
1743:
1742:
1740:
1736:
1733:
1731:
1727:
1723:
1718:
1714:
1707:
1702:
1700:
1695:
1693:
1688:
1687:
1684:
1673:
1669:
1665:
1661:
1657:
1653:
1649:
1642:
1634:
1628:
1624:
1623:
1615:
1602:on 2009-03-20
1598:
1594:
1590:
1586:
1582:
1578:
1574:
1570:
1566:
1559:
1552:
1544:
1538:
1531:
1527:
1523:
1516:
1510:
1505:
1490:
1486:
1480:
1476:
1466:
1463:
1461:
1458:
1456:
1453:
1451:
1448:
1446:
1443:
1441:
1438:
1436:
1433:
1431:
1428:
1427:
1419:
1416:
1414:
1411:
1409:
1406:
1404:
1401:
1399:
1396:
1394:
1391:
1389:
1386:
1384:
1381:
1379:
1376:
1374:
1371:
1369:
1366:
1364:
1363:Binary option
1361:
1360:
1352:
1349:
1347:
1344:
1342:
1339:
1337:
1334:
1332:
1329:
1327:
1324:
1322:
1319:
1317:
1314:
1313:
1304:
1303:
1298:
1297:
1288:
1284:
1283:
1274:
1273:
1268:
1267:
1258:
1257:
1256:binary option
1252:
1251:
1248:Binary option
1242:
1238:
1237:
1227:
1223:
1222:
1212:
1208:
1207:
1198:
1194:
1193:
1184:
1180:
1179:
1170:
1169:consecutively
1166:
1162:
1161:
1152:
1148:
1147:
1138:
1134:
1130:
1129:
1120:
1116:
1113:
1109:
1106:
1102:
1098:
1095:
1091:
1090:
1085:
1084:
1075:
1071:
1068:
1064:
1060:
1059:
1053:
1051:
1038:
1037:
1036:Boston option
1032:
1031:
1028:Boston option
1022:
1021:
1016:
1015:
1006:
1005:
1000:
999:
990:
989:
988:basket option
984:
983:
980:Basket option
974:
970:
966:
965:
942:
938:
934:
909:
904:
900:
896:
890:
887:
881:
878:
875:
857:
854:
853:
848:
847:
844:Quanto option
838:
837:exchange rate
834:
813:
810:
807:
799:
794:
790:
786:
764:
760:
756:
731:
726:
722:
718:
712:
709:
703:
700:
697:
663:
657:
654:
651:
648:
645:
631:
627:
623:
619:
615:
614:
609:
608:
602:
600:
586:
582:
581:
571:
567:
566:
557:
556:double option
553:
552:
549:Double option
542:
538:
537:
527:
523:
522:
513:
509:
505:
501:
497:
496:
487:
483:
482:Canary option
479:
478:
475:Canary option
469:
465:
461:
457:
453:
448:
444:
443:
437:
425:
421:
417:
413:
409:
406:
402:
398:
394:
390:
386:
382:
378:
375:
371:
367:
364:
360:
356:
352:
348:
347:
346:
343:
341:
337:
332:
330:
324:
322:
318:
314:
310:
306:
302:
298:
295:known as the
294:
284:
281:
273:
270:
268:
264:
260:
256:
242:
234:
218:
207:
188:
185:
179:
176:
173:
157:
155:
136:
133:
127:
124:
121:
105:
104:
103:
97:
93:
89:
86:
82:
78:
77:
76:
68:
66:
62:
58:
56:
50:
46:
42:
38:
34:
30:
26:
22:
2365:Forward rate
2276:Total return
2164:Real options
2067:Ratio spread
2047:Naked option
2007:Debit spread
1847:
1838:Fixed income
1780:Strike price
1655:
1651:
1641:
1621:
1614:
1604:, retrieved
1597:the original
1568:
1564:
1551:
1521:
1515:
1504:
1492:. Retrieved
1488:
1479:
1430:Covered call
1408:Stock option
1300:
1270:
1254:
1240:
1225:
1210:
1196:
1182:
1168:
1164:
1150:
1136:
1132:
1104:
1100:
1093:
1089:Asian option
1087:
1081:Asian option
1073:
1062:
1047:
1034:
1018:
1002:
986:
968:
855:
850:
835:between the
617:
613:cross option
611:
596:
584:
570:swing option
569:
563:Swing option
555:
541:shout option
540:
534:Shout option
525:
507:
499:
481:
446:
434:
387:An American
351:in the money
344:
336:strike price
333:
325:
290:
282:
279:
271:
257:
233:strike price
210:
101:
95:
91:
84:
80:
74:
52:
40:
36:
24:
20:
18:
2296:Zero Coupon
2226:Correlation
2174:VannaâVolga
2032:Iron condor
1818:Bond option
1403:Real option
1368:Bond option
1133:game option
1126:Game option
833:correlation
626:call option
393:dirty price
389:bond option
379:A deep ITM
355:call option
301:Black model
154:call option
2570:Tax policy
2286:Volatility
2196:Amortising
2037:Jelly roll
1972:Box spread
1967:Backspread
1959:Strategies
1795:Volatility
1790:the Greeks
1755:Expiration
1606:2008-11-15
1471:References
1455:Put option
1229:exercised.
1214:exercised.
502:is not an
412:put option
374:underlying
370:put option
319:is one of
317:volatility
261:traded on
206:put option
2261:Inflation
2211:Commodity
2169:Trinomial
2104:Bachelier
2096:Valuation
1977:Butterfly
1911:Commodore
1760:Moneyness
1593:120793076
1440:Naked put
1435:Moneyness
910:⋅
879:−
814:⋅
800:⋅
732:⋅
701:−
664:⋅
649:−
424:inflation
340:calibrate
177:−
125:−
61:valuation
33:exercised
2605:Category
2400:Slippage
2330:Contango
2314:Forwards
2281:Variance
2241:Dividend
2236:Currency
2149:Margrabe
2144:Lattices
2123:equation
2109:Binomial
2057:Strangle
2052:Straddle
1949:Swaption
1931:Lookback
1916:Compound
1858:Warrants
1833:European
1813:American
1805:Vanillas
1770:Pin risk
1750:Exercise
1672:32671470
1537:citation
1494:12 April
1413:Swaption
1310:See also
1241:reoption
1234:Reoption
927:, where
749:, where
622:currency
460:swaption
420:currency
381:currency
363:dividend
204:, for a
152:, for a
41:American
37:European
2319:Futures
1939:Rainbow
1906:Cliquet
1901:Chooser
1881:Barrier
1868:Exotics
1730:Options
1585:3215221
1424:Related
1418:Warrant
1357:Options
1341:Finance
632:, pays
630:dollars
452:Bermuda
407:is due.
391:on the
384:strike.
231:is the
65:hedging
2380:Margin
2246:Equity
2139:Heston
2042:Ladder
1992:Condor
1987:Collar
1944:Spread
1891:Binary
1886:Basket
1670:
1629:
1591:
1583:
856:option
852:quanto
405:coupon
353:(ITM)
211:where
45:payoff
29:option
27:of an
25:family
21:style
2251:Forex
2206:Basis
2201:Asset
2188:Swaps
2114:Black
2017:Fence
1876:Asian
1738:Terms
1668:S2CID
1600:(PDF)
1589:S2CID
1581:JSTOR
1561:(PDF)
1119:Tokyo
1065:is a
395:of a
359:stock
357:on a
2085:Bull
2081:Bear
1823:Call
1627:ISBN
1543:link
1496:2018
1316:CBOE
1092:(or
973:bond
616:(or
454:, a
416:gold
397:bond
235:and
63:and
1853:Put
1660:doi
1573:doi
1526:hdl
1135:or
1086:An
967:An
914:JPY
867:max
818:USD
804:JPY
736:JPY
689:max
668:USD
640:max
583:An
414:on
349:An
165:max
113:max
96:any
90:An
39:or
23:or
2607::
2083:,
1843:FX
1666:.
1654:.
1650:.
1587:,
1579:,
1569:32
1567:,
1563:,
1539:}}
1535:{{
1487:.
1299:A
1285:A
1269:A
1253:A
1239:A
1224:A
1209:A
1195:A
1181:A
1131:A
1072:A
1061:A
1033:A
1017:A
1001:A
985:A
975:).
849:A
610:A
568:A
554:A
539:A
524:A
498:A
480:A
445:A
410:A
368:A
323:.
79:A
67:.
2125:)
2121:(
2087:)
2079:(
1705:e
1698:t
1691:v
1674:.
1662::
1656:4
1635:.
1575::
1545:)
1528::
1498:.
943:0
939:X
935:F
905:0
901:X
897:F
894:)
891:0
888:,
885:)
882:K
876:S
873:(
870:(
811:1
808:=
795:T
791:X
787:F
765:T
761:X
757:F
727:T
723:X
719:F
716:)
713:0
710:,
707:)
704:K
698:S
695:(
692:(
661:)
658:0
655:,
652:K
646:S
643:(
243:S
219:K
192:}
189:0
186:,
183:)
180:S
174:K
171:(
168:{
140:}
137:0
134:,
131:)
128:K
122:S
119:(
116:{
57:"
53:"
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