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7 Cards in this Set

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