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Topic: Bermudan option


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In the News (Sun 21 Apr 19)

  
  Options (Puts and Calls)
An option is a contract, or a provision of a contract, that gives one party (the option holder) the right, but not the obligation, to perform a specified transaction with another party (the option issuer or option writer) according to specified terms.
Option contracts are a form of derivative instrument.
A third form of exercise, which is occasionally used with OTC options, is Bermudan exercise.
www.riskglossary.com /articles/option.htm   (607 words)

  
  Option style - Wikipedia, the free encyclopedia
In finance, the style or family of an option is a general term denoting the class into which the option falls, usually defined by the dates on which the option may be exercised.
A deep ITM currency 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 strike.
A cross option (or composite option) is an option on some underlying in one currency with a strike denominated in another currency.
en.wikipedia.org /wiki/Bermudan_option   (1285 words)

  
 Option style -- Facts, Info, and Encyclopedia article   (Site not responding. Last check: )
A (additional info and facts about bermudan option) bermudan option is an option where the buyer has the right to exercise at a set (always discretely spaced) number of times.
A (additional info and facts about quanto option) quanto option is an option on some underlying in one (The metal or paper medium of exchange that is presently used) currency but paid in another currency.
A (additional info and facts about game option) game option or (additional info and facts about israeli option) israeli option is an option where the writer has the opportunity to cancel the option he has offered, but must pay the payoff at that point plus a penalty fee.
www.absoluteastronomy.com /encyclopedia/o/op/option_style.htm   (597 words)

  
 Vanilla option - Wikipedia, the free encyclopedia
For example, a particular type of option may be described as vanilla if it is well-established in the financial markets and is easy to trade - vanilla options typically have good liquidity at a wide range of strike prices and maturities.
The term vanilla option is almost always used in a context where there is a more complex or exotic option being considered.
The term "third generation option" is also used to somewhat frequently - it is not clear exactly which other options would be placed in the first and second generations.
en.wikipedia.org /wiki/vanilla_option   (478 words)

  
 Glossary
Bermuda Option - A Bermudan option is an option where early exercise is restricted to certain dates during the life of the option.
It derives its name from the fact that its exercise characteristics are somewhere between those of the American (exercisable at any time during the life of the option) and the European (exercisable only at the expiration of the option) style of options (The island of Bermuda lies between America and Europe).
A common example of this type of option is an employee stock option where the option holder must possess the option for a certain period (the vesting period) before the option can be exercised.
www.fintools.com /doc/options/optionsGlossary.html   (2180 words)

  
 Bermudan option   (Site not responding. Last check: )
The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the manner inwhich the option may be exercised.
American options are more difficult to value, and a choiceof models are available (for example Whaley, binomial options model, Monte Carlo andothers).
A bermudan option is an option where the buyer has the right to exercise at a set (always discretely spaced)number of times.
www.therfcc.org /bermudan-option-29290.html   (482 words)

  
 Bermudan Options
A Bermudan option is a call or put option which can be exercised on prespecified days during the life of the option.
For options with discrete dividends and a repo-rate (a cost associated with short-selling the underlying asset).
Options with Varying Strikes and Variable Rates:  there are several functions available that allow variable strike prices and variable rates.
www.fincad.com /support/developerFunc/mathref/Bermud.htm   (1055 words)

  
 EMPLOYEE STOCK OPTIONS
Hence employee stock options are the so-called `golden handcuffs': they incentivise the employee to remain in the employ of the company and as a group for the employees to work towards the best interests of the company (this assumes that the free-rider and other gametheoretic issues are not important).
The only addition factors are that the option may be forfeited (because of resignation of the employee) or exercised early, which is sub-optimal from the usual option pricing point of view.
It seems however the population of option holders can be considered homogenous in terms of their attrition (although it seems that, for example, those whose options are near vesting would be less likely to resign, all other factors being equal, than those far from vesting).
www.riskworx.com /eso/eso.html   (2575 words)

  
 Bermudan option   (Site not responding. Last check: )
Option Monitor.com Stock option analysis focused on Covered Call Option strategies and LEAP option data designed for hedging investing and trading risk in the stock market.
Option Money Portfolio Software Software designed for option traders to track their portfolio and option trades: financial reports, tax reports, account summary, and holding reports.
The Option Club Research and option strategies for equity, indices and futures.
www.serebella.com /encyclopedia/article-Bermudan_option.html   (343 words)

  
 Option style   (Site not responding. Last check: )
The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the dates on which the option may be exercised.
That is because any option has a time value and is usually worth more unexercised.
A binary option (also known as a digital option) pays a fixed amount, or nothing at all, depending o the price of the underlying instrument at maturity.
www.worldhistory.com /wiki/O/Option-style.htm   (1307 words)

  
 Bermudan Options
A Bermudan option is a call or put option which can be exercised on prespecified days during the life of the option.
It is reasonable to say that Bermudan options are a hybrid of European options, which can only be exercised on the option expiry date, and American options, which can be exercised at any time during the option life time.
As a consequence, under same conditions, the value of a Bermudan option is greater than (or equal to) a European option but less than (or equal to) an American option.
www.financialcad.com /support/developerFunc/mathref/Bermud.htm   (1047 words)

  
 Bermudan and American Style Basket Options
Options that involve multiple factors cannot be valued with these methods, due to the exponential growth of the number of nodes or grids that are used to approximate option values.
To value a European style option with Monte Carlo simulation paths are generated first and intrinsic option values are calculated path by path at the option’s maturity date.
For a Bermudan option this is the exercise date table; for an American option many exercise time points will be inserted into this table.
www.financialcad.com /support/developerFunc/mathref/Basket_am.htm   (1695 words)

  
 Average, lookback and other exotic options
The payoff from lookback options depend on the maximum or minimum of the underlying achieved through the period.
In chapter 11 we looked at a general simulation case where we wrote a generic routine which we passed a payoff function to, and the payoff function was all that was necessary to define an option value.
One is the case of an Asian option, shown in code 13.6.
finance.bi.no /~bernt/gcc_prog/recipes/recipes/node14.html   (675 words)

  
 Glossary of Terms   (Site not responding. Last check: )
Because an American option bestows on the holder all the benefits of a European option, in addition to the ability to exercise the option early, the market value of an American option will always be greater than or equal to that of a comparable European option.
An Asian option (also called an average option) is a cash-settled derivative instrument whose payoff is linked to the average value of the underlier on a specific set of dates during the life of the option.
Alternatively, the option can be structured to pay the holder the difference between the strike (which is fixed as in a standard option) and the best level of spot seen during the life of the option.
www.jeresearch.com /Glossary.htm   (2714 words)

  
 Corporate Finance Manual: Glossary
An entity (which may be part of, an affiliate of, a futures or options exchange or independent) that matches and guarantees the performance of trades and holds collateral lodged by participants, usually by being central counterparty as principal to every trade it guarantees.
A future, option or swap whose underlying asset is, or whose underlying assets include, a specific share or shares, or a share index.
The process whereby exchange-traded futures or options are revalued on a daily basis; regular periodic revaluation of any financial asset or liability by reference to its current fair value.
www.hmrc.gov.uk /manuals/cfmmanual/glossary/cfm800.htm   (6423 words)

  
 Definition of Vanilla option
In finance, a vanilla option is a type of derivative security.
a particular type of option may be described as vanilla if it is well-established in the financial markets and is easy to trade - vanilla options typically have good liquidity at a wide range of strike prices and maturities.
However the term the vanilla is almost always used in the context where there is a more complex or exotic option being considered.
www.wordiq.com /definition/Vanilla_option   (526 words)

  
 asian option
Abandonment option The option of terminating an investment earlier than originally planned...
search Option style Option style The style or family of a financial option is a general term denoting the class into which the option falls, usually defined by the manner in which the option may be exercised.
A european option may be exercised by only at the...
www.idrassociate.org /c769wi8g-3.html   (501 words)

  
 RQuantLib interface from GNU R to QuantLib
For all of the option types, upon evaluation an element of a simple class is returned.
Each of the the specific option classes inherits from a base class Option, and print and summary methods are provided for the base class.
For both option and implied volatility calculations, operations are limited to the scalar case.
dirk.eddelbuettel.com /code/rquantlib.html   (1957 words)

  
 Derivatives Club Hosts Bermuda Swaps and Swaptions - GSB Business   (Site not responding. Last check: )
A Bermuda swaption is an option to enter into a swap at discrete points in time.
The implied volatility of a European swaption has a density that is approximately normally distributed, while the implied volatility of a Bermudan swap (or swaption) has a density that resembles a lognormal shape, skewed to the right.
He showed an example of a swaption surface that captures the incremental vega for a given combination of option expiry and swap tenor, as well a delta and curve risk grid.
www.chibus.com /media/paper408/news/2002/03/04/GsbBusiness/Derivatives.Club.Hosts.Bermuda.Swaps.And.Swaptions-205401.shtml   (758 words)

  
 Find Bermudan and thousands of other great things.   (Site not responding. Last check: )
Bermudan kites are the buzz - Although Arizona lacks the tropical breezes of Bermuda, that hasn't deterred Eugene Harvey from bringing traditional Bermudan - or Bermujan to residents - kitemaking to the Valley.
A Bermudan option is a call or put option which can be exercised on prespecified days during the...
Bermudan swaptions, Bermudan Constant maturity swaptions, Bermudan captions and.
www.search-co.com /Ethnic_and_Regional/North_American/Bermudan   (259 words)

  
 Bermudan - Gulfnews: Bermudan policeman on the prowl
Bermudan - Gulfnews: Bermudan policeman on the prowl
Bermudan cricketer Saleem Mukuddem (R) appeals successfully for the wicket of Bangladeshi batsman Aftab Ahmed (L) at the Queen's Park Oval in Port-of-Spain
coordinates for a bermudan rig mainsail.a: 0, 450 mainsail.b: 0, 50 mainsail.c: 200, 50 jib.a: 0400 jib.b: 150,0 jib.c: 0,0.
zonebounds.info /?q=bermudan   (560 words)

  
 [No title]
The focus of this thesis is on the risk neutral valuation of Bermudan swaptions and its application to pricing situations where observed market data used for calibration is limited.
By exploring the properties of the solution to the optimal stopping problem that specifies the price process of these instruments, a general valuation method suited for practical computations is suggested.
The valuation method is based on restricting the evolution of the short rate process to that of a recombining binomial tree and is able to produce fast price estimates of Bermudan swaptions based on limited input data when specifying the dynamics of the short rate process to the Ho-Lee model.
www.algorithmica.se:80 /research.asp   (748 words)

  
 plain vanilla
Barrier option (or knock-in option) that causes a plain-vanilla call or put option to come into existence...
option (or knock-out option) that initially is a plain vanilla option, but which ceases to exist if the...
Quick Links single option mortgage banker plain vanilla non tradables export trading company sell the book...
www.idrassociate.org /ro34w6bs-4.html   (292 words)

  
 List of finance topics: Option style
A set of rules or principles dealing with a specific area of a legal system: tax law; criminal law.
at a single point in time An american option on the other hand may be exercised at any time before expiry.
Some other styles of options are * Bermudan option (buyer has right of exercise at certain times before maturity according to a pre-agreed schedule) * Asian option (buyer exercises against average strike price) * Quanto option (buyer exercises in different currency)
www.morelawinfo.com /Finance_topics/Option_style.shtml   (281 words)

  
 vanilla issue
The physical commodity itself (a currency, treasury debt issue, commodity) - underlies that option contract.
and is easy to trade - vanilla options typically have good liquidity at a wide...
a particular type of option may be described as vanilla if it is well-established in the financial markets and is easy to trade - vanilla options typically have good liquidity at a wide...
www.mcclproject.org /money/vanilla+issue   (620 words)

  
 C(omp)++ | A Portal for the Computational Finance Community: Joerg Kienitz
Thus the option holder does not have to wait until maturity to execute his right to exercise the option.
The difference between the two types is that an American option can be exercised at any time until maturity whereas a Bermudan option has specified dates at which exercise is possible.
The American option can be seen as a limiting case of a Bermudan.
www.compplusplus.com /joerg_kienitz   (1022 words)

  
 Option style
Home Essentials provides expatriates the option to rent or purchase quality electronics, appliances and furniture for long or short term, any product, any style.
This charming cabin, located at the northern tip of the Big Island in the artists' town of Hawi, was built as an old-style paniolo (cowboy) ranch house.
A loft in the barn is another accommodation option.
www.omniknow.com /common/wiki.php?in=en&term=Bermudan_option   (1667 words)

  
 oBIN2( ) Example - Bermudan Put Option   (Site not responding. Last check: )
Consider a Bermudan put option on a dividend paying stock.
The current stock price is $45, the option strike price is $44, the riskless rate is 5% (expressed on an actual/365 basis), and the option maturity date is 30 December 2003.
Because this option has a Bermudan exercise style, the most appropriate valuation approach is supported by the oBIN2() function.
www.orangefinsoft.com /HelpFiles/1153.htm   (147 words)

  
 bermudan option at mycreditcardzone.com   (Site not responding. Last check: )
Find bermudan option and more at Lycos Search.
Read about bermudan option in the free online encyclopedia and dictionary.
Find results for bermudan option and anything else you are looking for instantly!
www.mycreditcardzone.com /bermudan-option.html   (210 words)

  
 bermudan.de
Related Searches: Bermudan Option Bermudan Exercise Fx Option Pricing American Option
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www.bermudan.de   (77 words)

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