Karteikarten
Ohne Titel
Karten in diesem Stapel (6)
- 1VolatilityA variable in option pricing formulas showing the extent to which the return of the underlying asset will fluctuate between now and the option's expiration. Volatility, as expressed as a percentage coefficient within option-pricing formulas, arises from daily trading activities. How volatility is measured will affect the value of the coefficient used.
- 2DeltaThe ratio comparing the change in the price of the underlying asset to the corresponding change in the price of a derivative. Sometimes referred to as the "hedge ratio."
- 3GammaThe option's gamma is a measure of the rate of change of its delta. The gamma of an option is expressed as a percentage and reflects the change in the delta in response to a one point movement of the underlying stock price.
- 4Barrier OptionsKnock-in option has no value until the underlying hits a certain price. Knock-out option has no value once it exceeds a certain price
- 5CollarSell the call and buy the put if you are long. Or buy the call and sell the put if you are short.
- 6https://www.cmegroup.com/education/files/fincad-hedge-accounting-kpmg-3.pdf CVACVA
Informationen
- Beschreibung
- Karteikarten am Ohne Titel, erstellt von jackhajb am 21/04/2015.
- Erstellt von
- jackhajb
- Aufrufe
- 1
- Bewertung
Mehr zu Hedging with Derivatives