Timer Call (original) (raw)
The Timer Call is an Exotic option, that allows buyers to specify the level of volatility used to price the instrument. As with many leading ideas, the principle of the timer call is remarkably simple: instead of a dealer needing to use an implied volatility to use in pricing the option, the volatility is fixed, and the maturity is left floating. As a result of this, the Timer Call allows the pricing of call and put options on underlyings for which ordinary options are not priced; dealers in a normal option are exposed to the difference between the volatility they estimate and the realised volatility, whereas in a Timer Call, this risk is much diminished.
| Property | Value |
|---|---|
| dbo:abstract | The Timer Call is an Exotic option, that allows buyers to specify the level of volatility used to price the instrument. As with many leading ideas, the principle of the timer call is remarkably simple: instead of a dealer needing to use an implied volatility to use in pricing the option, the volatility is fixed, and the maturity is left floating. As a result of this, the Timer Call allows the pricing of call and put options on underlyings for which ordinary options are not priced; dealers in a normal option are exposed to the difference between the volatility they estimate and the realised volatility, whereas in a Timer Call, this risk is much diminished. (en) |
| dbo:wikiPageExternalLink | http://www.sgcib.com http://www.socgen.com |
| dbo:wikiPageID | 14599334 (xsd:integer) |
| dbo:wikiPageLength | 4761 (xsd:nonNegativeInteger) |
| dbo:wikiPageRevisionID | 1026718498 (xsd:integer) |
| dbo:wikiPageWikiLink | dbc:Options_(finance) dbr:Option_(finance) dbr:Call_option dbr:Market_timing dbr:Put_option dbr:Risk_premium dbr:Investment_banking dbr:Asset_allocation dbr:Société_Générale dbr:Risk_management dbr:Exotic_option dbr:Implied_volatility dbr:Management_science |
| dbp:wikiPageUsesTemplate | dbt:Reflist dbt:Technical |
| dcterms:subject | dbc:Options_(finance) |
| gold:hypernym | dbr:Option |
| rdf:type | dbo:Automobile |
| rdfs:comment | The Timer Call is an Exotic option, that allows buyers to specify the level of volatility used to price the instrument. As with many leading ideas, the principle of the timer call is remarkably simple: instead of a dealer needing to use an implied volatility to use in pricing the option, the volatility is fixed, and the maturity is left floating. As a result of this, the Timer Call allows the pricing of call and put options on underlyings for which ordinary options are not priced; dealers in a normal option are exposed to the difference between the volatility they estimate and the realised volatility, whereas in a Timer Call, this risk is much diminished. (en) |
| rdfs:label | Timer Call (en) |
| owl:sameAs | freebase:Timer Call wikidata:Timer Call https://global.dbpedia.org/id/4wmXG |
| prov:wasDerivedFrom | wikipedia-en:Timer_Call?oldid=1026718498&ns=0 |
| foaf:isPrimaryTopicOf | wikipedia-en:Timer_Call |
| is dbo:wikiPageRedirects of | dbr:Timer_call |
| is dbo:wikiPageWikiLink of | dbr:Timer_call |
| is foaf:primaryTopic of | wikipedia-en:Timer_Call |