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, ...

Get Introduction to Option-Adjusted Spread Analysis: Revised and Expanded Third Edition of the OAS Classic by Tom Windas now with the O’Reilly learning platform.

O’Reilly members experience live online training, plus books, videos, and digital content from nearly 200 publishers.