Option adjusted spread model

• Is an approach whereby securities are evaluated by considering the implied option characteristics. Two key variables are interest rate and prepayment rate behavior. These models incorporate the average spread of the Mortgage Backed Security or CMO tranche to the treasury yield curve. The usual reason for differences in evaluations is due to assumptions and modeling efforts for prepayments.


Follow this link for all the terms related to modeloptionspread.

 Embedded terms in definition
Interest rate
Yield curve
 Related Terms
Abandonment option
Adjusted basis
Adjusted gross income
Adjusted present value
American option
American style option
Annuity form or option
Arbitrage free option pricing models
Asian option
Asset pricing model
Back spread or backspread
Bargain purchase price option
Baumol model
Bear spread
Bid asked spread
Binary option
Binomial option pricing model
Black option model
Black scholes option model
Black scholes option pricing model
Bull spread
Business model eps projection
Butterfly option spread
Buy a spread
Calendar spread
Call an option
Call option
Capital asset pricing model
Compound option
Constant growth dividend valuation gordon model
Constant growth model
Covered or hedge option strategies
Crack spread
Credit spread
Crush spread
Currency option
Debit spread
Delta hedge of an option
Delta of an option
Diagonal spread
Discounted dividend model
Dividend discount model
Dividend growth model
Dividend valuation model
Doubling option
Down and in option
Down and out option
Effective spread
Elasticity of an option
Embedded option
European option
European style option
Exercise or option price
Exercising the option
Explicit option
Factor model
Foreign currency option
Futures option
Gamma of an option
Garmen kohlhagen option pricing model
Gordon model
Greenshoe option
Gross spread
Ho lee option model
Horizontal spread
Implicit option
In the money option
Index and option market
Index model
Index option
Intermarket sector spread
Intermarket spread swaps
Intramarket sector spread
Intrinsic value of an option
Irrational call option
Liquid yield option note
Lookback option
Market maker spread
Market model
Maturity spread
Miller orr model
Multi option financing facility
Naked option
Naked option position
Naked option strategies
Net adjusted present value
Neutral spread
Option adjusted duration
Option adjusted spread
Option elasticity
Option models
Option not to deliver
Option premium
Option price
Option seller
Option trading strategies
Option type
Option writer
Out of the money option
Path dependent option
Pie model of capital structure
Postponement option
Prepayment option
Put an option
Put option
Quality option
Quality spread
Ratio spread
Relative yield spread
Rho of an option
Risk adjusted discount rate
Risk adjusted profitability
Risk adjusted return
Sell a spread
Seller's option
Short option minimum charge
Simple linear trend model
Single factor model
Single index model
Split fee option
Spread income
Spread strategy
Stock index option
Stock option
Swap option
Tax deferral option
Tax timing option
Ted spread
Time spread
Time value of an option
Timing option
Two factor model
Two state option pricing model
Value at risk model
Variable growth model
Vertical spread
Virtual currency option
Weighted spread
Wild card option
Yield curve option pricing models
Yield spread strategies
Yield to call, option or event date
Zero growth model

<< Option adjusted spread Option elasticity >>

What Happens If a Bank Fails?: How the FDIC protects depositors, including providing quick access to insured funds. More...

Don't let the fear of the time it will take to accomplish something stand in the way of your doing it. The time will pass anyway; we might just as well put that passing time to the best possible use. - Earl Nightingale


Copyright 2009-2018 GVC. All rights reserved.