GLOSSARY
American option. An option that may be exercised over a time period that begins sometime before, and terminates on, the option expiration date. See European option.
arbitrage-free binomial tree of risk-free short rates. See lognormal model.
at-the-money option. An option whose strike price is equal or close to the underlying security’s current market price.
benchmark yield curve. The yield curve described by benchmark, or risk-free, notes and bonds. In the United States, the most recently issued Treasury bills, notes, and bonds are considered benchmark issues.
Bermudian option. With regards to fixed-income securities, any embedded option whereby the bondholder has sold the issuer the right to repurchase the bond back from the investor, ...

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