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7 Cards in this Set
- Front
- Back
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Protective put
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The purchase of stock and a put option on the stock to limit the downside risk associated with the clock.
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Put-call parity (PCP)
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The relationship between the prices of the underlying stock, a call option, a put option, and a riskless asset.
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Delta
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Measures the effect on an option's value of a small change in the value of the underlying stock.
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Theta
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Measures the sensitivity of an option's value to a change in the time to expiration.
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Vega
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Measure the sensitivity of an option's value o a change in the standard deviation of the return on the underlying asset.
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Rho
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Measures the sensitivity of an option's value to a change in the risk-free rate.
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Implied standard deviation
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An estimate of the future standard deviation of the return on an asset obtained from the Black-Scholes OPM.
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