Template:2002 ISDA Equity Derivatives Definitions 12.1(m): Difference between revisions
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Amwelladmin (talk | contribs) Created page with ":{{eqderivprov|12.1(m)}} “'''{{eqderivprov|Implied Volatility}}'''” means for any {{eqderivprov|Exchange Business Day}}, the mid-market implied volatility of the relevant..." |
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:{{eqderivprov|12.1(m)}} “'''{{eqderivprov|Implied Volatility}}'''” means for any {{eqderivprov|Exchange Business Day}}, the mid-market implied volatility of the relevant {{eqderivprov|Shares}}, as determined by the {{eqderivprov|Calculation Agent}} by interpolating or extrapolating from the most comparable listed put or call option (which shall be of the same {{eqderivprov|Option}} | :{{eqderivprov|12.1(m)}} “'''{{eqderivprov|Implied Volatility}}'''” means for any {{eqderivprov|Exchange Business Day}}, the mid-market implied volatility of the relevant {{eqderivprov|Shares}}, as determined by the {{eqderivprov|Calculation Agent}} by interpolating or extrapolating from the most comparable listed put or call option (which shall be of the same {{eqderivprov|Option Type}} as the {{eqderivprov|Option Transaction}} being cancelled) on the relevant {{eqderivprov|Shares}} as determined by the {{eqderivprov|Calculation Agent}} taking into account the nearest strike price, maturity and “'''{{eqderivprov|in-the-money}}'''” or “'''{{eqderivprov|out-of-the-money}}'''” amount, as the case may be, and such other factors that the {{eqderivprov|Calculation Agent}} deems appropriate. To the extent that such a listed option does not exist or the {{eqderivprov|Calculation Agent}} determines that the market for such listed option is not sufficiently liquid for the purpose of the relevant calculation, the {{eqderivprov|Implied Volatility}} will be determined by the {{eqderivprov|Calculation Agent}} by whatsoever means it deems appropriate. <br> |