G
Gamma The ratio of a change in the option delta to a small change in the price of the asset on which the option is written. Garmen-Kohlhagen option pricing model A widely used model for […]
F
Factor sensitivity The impact on a portfolio of assets of movements in the underlying risk parameter of an individual asset. Factor portfolio A well-diversified portfolio constructed to have a beta of 1.0 on one factor […]
Embedded option
An option implicit in another instrument. The commonest are: call options embedded in bonds, which allow the issuer to redeem the bond early; the options implicit in bonds with sinking funds; the embedded put provisions […]
E
European style options An option contract that can only be exercised upon its expiration date. Compare to American-style options. Excess equity The value of cash or securities held in a margin account that exceeds the […]
Euribor
Euro Interbank Offered Rate. The Brussels-based European Banking Federation’s Euro-denominated counterpart to LIBOR. As of January, 1999, Euribor seems to be winning its battle for acceptance over the British Bankers Association’s Euro LIBOR (q.v.), but […]
D
Dates convention Treating cash flows as being received on exact dates – date 0, date 1, and so forth – as opposed to the end-of-year convention. Day order An order to buy or sell stock […]
Derivative instruments
Contracts such as options and futures whose price is derived from the price of the underlying financial asset.
C
CAC 40 index A broad-basedindex of common stocks composed of 40 of the 100 largest companies listed on the forward segment of the official list of the Paris Bourse. Cage A section of a brokerage […]
Condor
Applies to derivative products. Option strategy consisting of both puts and calls at different strike prices to capitalize on a narrow range of volatility. The payoff diagram takes the shape of a bird. See also […]
Beta
A measure of how a stock’s movement correlates to the movement of the entire stock market. The Beta is not the same as volatility. See also Standard Deviation and Volatility. See also stocks
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