Yield curve option pricing models

• Models that can incorporate different volatility assumptions along the yield curve, such as the Black-Derman-Toy model. Also called arbitrage-free option-pricing models.


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Yield curve
 Related Terms
Abandonment option
Administrative pricing rules
American option
American style option
Annual percentage yield
Annuity form or option
Arbitrage free option pricing models
Arbitrage pricing theory
Asian option
Asset pricing model
Average dividend yield
Bankruptcy prediction models
Bargain purchase price option
Best pricing
Binary option
Binomial option pricing model
Black option model
Black scholes option model
Black scholes option pricing model
Bond equivalent yield
Butterfly option spread
Call an option
Call option
Capital asset pricing model
Capital gains yield
Compound option
Convenience yield
Cost yield
Country risk analysis models
Coupon equivalent yield
Covered or hedge option strategies
Credit scoring models
Currency option
Current yield
Curve trader
Delta hedge of an option
Delta of an option
Deterministic models
Dividend yield
Dividend yield funds
Dividend yield stocks
Doubling option
Down and in option
Down and out option
Earnings yield
Effective annual yield
Elasticity of an option
Embedded option
Equivalent bond yield
Equivalent taxable yield
European option
European style option
Exercise or option price
Exercising the option
Explicit option
Extrapolative statistical models
Flat yield curve
Flattening of the yield curve
Foreign currency option
Futures option
Gamma of an option
Garmen kohlhagen option pricing model
Greenshoe option
High yield
High yield bond
Ho lee option model
Implicit option
In the money option
Index and option market
Index option
Indicated yield
Indifference curve
Intrinsic value of an option
Inverted yield curve
Irrational call option
J curve
Liquid yield option note
Lookback option
Multi option financing facility
Naked option
Naked option position
Naked option strategies
Negative yield curve
Nominal yield
Non parallel shift in the yield curve
Normal yield curve
Option adjusted duration
Option adjusted spread
Option adjusted spread model
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
Parallel shift in the yield curve
Path dependent option
Positive yield curve
Postponement option
Potential average dividend yield
Prepayment option
Pricing efficiency
Pure yield pickup swap
Put an option
Put option
Quality option
Realized compound yield
Realized yield
Regulatory pricing risk
Relative yield spread
Reoffering yield
Required yield
Rho of an option
Riding the yield curve
Seller's option
Short option minimum charge
Split fee option
Spot rate curve
Stated yield
Steepening of the yield curve
Stochastic models
Stock index option
Stock option
Stopping curve
Stopping curve refunding rate
Swap option
Tax deferral option
Tax timing option
Theoretical spot rate curve
Time value of an option
Timing option
Two state option pricing model
Virtual currency option
Weighted average portfolio yield
Wild card option
Yield burning
Yield curve
Yield curve strategies
Yield ratio
Yield spread strategies
Yield to call
Yield to call, option or event date
Yield to maturity
Yield to worst
Zero curve

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