underlier in a sentence

1. Quanto options have both the strike price and underlier denominated in the foreign currency.
2. The portfolio's delta ( assuming the same underlier ) is then the sum of all the individual options'deltas.
3. For instance, the buyer's broker may charge transaction fees to exercise the option to buy or sell the underlier.
4. In practice, maintaining a delta neutral portfolio requires continuous recalculation of the position's Greeks and rebalancing of the underlier's position.
5. After the event has passed, the market may expect the underlier to be relatively stable which results in a lower implied volatility for the subsequent period.
6. It's difficult to find underlier in a sentence.
7. This method can also be used when the underlier is difficult to trade, for instance when an underlying stock is hard to borrow and therefore cannot be sold short.
8. For instance, the near option may include an upcoming event, such as an earnings announcement, that will, in all probability, cause the underlier price to move.
9. However, when the change in the value of the underlier is not small, the second-order term, \ Gamma \,, cannot be ignored : see Convexity ( finance ).
10. This is because any error on, say, the estimator for the forward value of an underlier, will generate a corresponding error depending on the delta of the derivative with respect to this forward value.
11. For any small change in the underlier, we can ignore the second-order term and use the quantity \ Delta \, to determine how much of the underlier to buy or sell to create a hedged portfolio.
12. For any small change in the underlier, we can ignore the second-order term and use the quantity \ Delta \, to determine how much of the underlier to buy or sell to create a hedged portfolio.
13. From the Taylor expansion of the value of an option, we get the change in the value of an option, C ( s ) \,, for a change in the value of the underlier ( \ epsilon \, ):
14. Thus, the option seller may end up with an unexpected position in the underlier and thus risk losing value if the underlier's price then moves adversely before the option seller can eliminate this position, perhaps not until the next trading day.
15. Thus, the option seller may end up with an unexpected position in the underlier and thus risk losing value if the underlier's price then moves adversely before the option seller can eliminate this position, perhaps not until the next trading day.
16. These risk scenarios usually involve a defined set of stress test scenarios, rules allowing risk offsets between the theoretical profit and losses ( P & Ls ) of these stress test scenarios for products of a common underlier, and offsets between groups of theoretical P & Ls based on correlations.
More:   1  2