Options III

Moorad Choudhry, Didier Joannas, Gino Landuyt, Richard Pereira and Rod Pienaar
Additional contact information
Moorad Choudhry: Europe Arad Bank plc
Didier Joannas: Thomson Reuters-Risk in North Asia
Gino Landuyt: Europe Arad Bank plc
Rod Pienaar: UBS AG prime services

Chapter 19 in Capital Market Instruments, 2010, pp 370-382 from Palgrave Macmillan

Abstract: Abstract We continue with options in this chapter, with a look at how options behave in response to changes in market conditions. To start we consider the main issues that a market maker in options must consider when writing options. We then review ‘the Greeks’, the measures by which the sensitivity of an option book is calculated. We conclude with a discussion on an important set of interest-rate options in the market, caps and floors.

Keywords: Interest Rate; Call Option; Implied Volatility; American Option; Future Contract (search for similar items in EconPapers)
Date: 2010
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Persistent link: https://EconPapers.repec.org/RePEc:pal:palchp:978-0-230-27938-4_19

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DOI: 10.1057/9780230279384_19

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