Cross-currency option

Cross-currency option
Cross-currency option
Cross-currency option - опцион, зависящий от трех различных валют: валюты, подлежащей доставке при исполнении, валюты цены исполнения и валюта, используемой для выражения цены опциона.
См. также:  Валютные опционы  

Финансовый словарь Финам.


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  • TCVP option — (Triangular Currency Variable Payoff)Payoff = max [S – X(1+rδ)] x [Net Currency Exposure x (1+rΩ)] where: δ and Ω are both IID unit normal stochastic, r is 30 day LIBORPricing this option involves the use of a trinomial options pricing model. The …   Wikipedia

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  • swap agreement — (53B) The term swap agreement (A) means (i) any agreement, including the terms and conditions incorporated by reference in such agreement, which is (I) an interest rate swap, option, future, or forward agreement, including a rate floor, rate cap …   Glossary of Bankruptcy


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