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The OTC Market
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225 Assumed spot arbitrage Assumed spot range at-the-money broker buying call option cents cost currency futures currency option contracts currency option markets delta neutrality derivatives Deutschemark Devon dollar early exercise European options European-style exchange rate exchange-traded expiration date exposure Figure foreign currency foreign exchange foreign interest rate foreign rate forward contract futures contract hedge impact input interbank London long call long forward loss market makers maturity movement negative offset option book option delta option model option position option premium option pricing option trading option valuation OTC market OTC options out-of-the-money Philadelphia Stock Exchange portfolio positive gamma potential profit put and call put option quotation quote range twelve months result selling short call short forward short put spot position spot price spot range twelve sterling call strategy strike price theta transaction twelve months forward underlying currency vega volatility writing options written call