• Study Resource
  • Explore
    • Arts & Humanities
    • Business
    • Engineering & Technology
    • Foreign Language
    • History
    • Math
    • Science
    • Social Science

    Top subcategories

    • Advanced Math
    • Algebra
    • Basic Math
    • Calculus
    • Geometry
    • Linear Algebra
    • Pre-Algebra
    • Pre-Calculus
    • Statistics And Probability
    • Trigonometry
    • other →

    Top subcategories

    • Astronomy
    • Astrophysics
    • Biology
    • Chemistry
    • Earth Science
    • Environmental Science
    • Health Science
    • Physics
    • other →

    Top subcategories

    • Anthropology
    • Law
    • Political Science
    • Psychology
    • Sociology
    • other →

    Top subcategories

    • Accounting
    • Economics
    • Finance
    • Management
    • other →

    Top subcategories

    • Aerospace Engineering
    • Bioengineering
    • Chemical Engineering
    • Civil Engineering
    • Computer Science
    • Electrical Engineering
    • Industrial Engineering
    • Mechanical Engineering
    • Web Design
    • other →

    Top subcategories

    • Architecture
    • Communications
    • English
    • Gender Studies
    • Music
    • Performing Arts
    • Philosophy
    • Religious Studies
    • Writing
    • other →

    Top subcategories

    • Ancient History
    • European History
    • US History
    • World History
    • other →

    Top subcategories

    • Croatian
    • Czech
    • Finnish
    • Greek
    • Hindi
    • Japanese
    • Korean
    • Persian
    • Swedish
    • Turkish
    • other →
 
Profile Documents Logout
Upload
chapter 2: the structure of options markets
chapter 2: the structure of options markets

... such as, MSFT\12B17\20.0. The last number represents the calendar date, the 20th of the month in this example. ...
Institute of Actuaries of India May 2013 Examinations INDICATIVE SOLUTIONS
Institute of Actuaries of India May 2013 Examinations INDICATIVE SOLUTIONS

... To show equivalence we need to create two portfolios with identical pay-off and show that there price at time 0 should be equal. We start at the end of day 0 and go long for future contracts and increase the same for number of contracts every day till n. So, by beginning of day i we will have contra ...
Share Based Employee Benefits
Share Based Employee Benefits

Sample questions
Sample questions

Understanding Volatility
Understanding Volatility

FX Derivatives Terminology Education Module: 5
FX Derivatives Terminology Education Module: 5

K 1 K 2
K 1 K 2

Price Comparison Results and Super-replication: An
Price Comparison Results and Super-replication: An

Introduction to Pricing and Hedging Continuous Time
Introduction to Pricing and Hedging Continuous Time

put
put

Note présentée au Collège
Note présentée au Collège

Derivatives - WordPress.com
Derivatives - WordPress.com

Derivative (finance)
Derivative (finance)

Derivative (finance)
Derivative (finance)

PART 5: RISK MANAGEMENT CHAPTER 15: Hedging Instruments
PART 5: RISK MANAGEMENT CHAPTER 15: Hedging Instruments

VARIABLE STRIKE OPTIONS and GUARANTEES in LIFE
VARIABLE STRIKE OPTIONS and GUARANTEES in LIFE

... and hedging strategies, overcoming the traditional risk profile. The innovation process leads to new kinds of exotic options and it modifies the typical elements such as the underlying, the strike price, the maturity. In this note, we are especially interested with the development of the strike pric ...
Modeling Asset Prices in Continuous Time
Modeling Asset Prices in Continuous Time

... This involves: •  Fully covering the option as soon as it moves in the money •  Staying naked the rest of the time This “deceptively simple” hedging strategy does NOT work well! Underlying must be bought slightly above X and sold slightly below X. ...
Binomial Trees
Binomial Trees

... The replication portfolio is composed of stock and bond. Since bond only generates parallel shifts in payoff and does not play any role in offsetting/hedging risks, it is the stock that really plays the hedging role. The optimal hedge ratio when hedging options using stocks is defined as the ratio o ...
bill analysis - Texas Legislature Online
bill analysis - Texas Legislature Online

colour ppt
colour ppt

... Everyone has options. When buying a car, we can add more equipment to the automobile that is “optional at extra cost”. In this sense, an option is a choice. Every option is either a call option or a put option. • Call option: a security that gives its owner the right, but not the obligation, to purc ...
When t=T
When t=T

Monte Carlo Simulation
Monte Carlo Simulation

... • An option is a financial derivative – Its value is derived from some other object, such as a stock • Payoff is dependent upon the value of the stock at the expiration date of the option – For a call option, the owner has the right to buy or sell the underlying asset at a specified price, known as ...
Binomial Model
Binomial Model

dO t - University of Pennsylvania
dO t - University of Pennsylvania

Lecture 3
Lecture 3

... Hedge funds are not subject to these constraints. Hedge funds use complex trading strategies are big users of derivatives for hedging, speculation and arbitrage ...
< 1 ... 10 11 12 13 14 15 16 17 >

Moneyness

In finance, moneyness is the relative position of the current price (or future price) of an underlying asset (e.g., a stock) with respect to the strike price of a derivative, most commonly a call option or a put option. Moneyness is firstly a three-fold classification: if the derivative would make money if it were to expire today, it is said to be in the money, while if it would not make money it is said to be out of the money, and if the current price and strike price are equal, it is said to be at the money. There are two slightly different definitions, according to whether one uses the current price (spot) or future price (forward), specified as ""at the money spot"" or ""at the money forward"", etc.This rough classification can be quantified by various definitions to express the moneyness as a number, measuring how far the asset is in the money or out of the money with respect to the strike – or conversely how far a strike is in or out of the money with respect to the spot (or forward) price of the asset. This quantified notion of moneyness is most importantly used in defining the relative volatility surface: the implied volatility in terms of moneyness, rather than absolute price. The most basic of these measures is simple moneyness, which is the ratio of spot (or forward) to strike, or the reciprocal, depending on convention. A particularly important measure of moneyness is the likelihood that the derivative will expire in the money, in the risk-neutral measure. It can be measured in percentage probability of expiring in the money, which is the forward value of a binary call option with the given strike,and is equal to the auxiliary N(d2) term in the Black–Scholes formula. This can also be measured in standard deviations, measuring how far above or below the strike price the current price is, in terms of volatility; this quantity is given by d2. Another closely related measure of moneyness is the Delta of a call or put option, which is often used by traders but actually equals N(d1), not N(d2), and there are others, with convention depending on market.
  • studyres.com © 2025
  • DMCA
  • Privacy
  • Terms
  • Report