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jackhajb Inglês 6 flashcards

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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