Theoretical value is one of the most basic tools used in trading today. By comparing the estimated value to the current market price of an option, it is possible to determine if the purchase or sale is likely to generate a return at some future point.
Theoretical Value
The price of an option, or a combination of options, as computed by a mathematical model.
Theta
A measure of the rate of change in an option's theoretical value for a one-unit change in time to the option's expiration date.
Theoretical Value -The worth of an option or future, calculated by considering (1) the difference between the option's or future's exercise price and the price of the underlying asset (stock, commodity, currency or index) and (2) the time value ...
Theoretical value
Applies to derivative products. Mathematically determined value of a derivative instrument as dictated by a pricing model such as the Black-Scholes model.
Theoretical Value - The price of an option, or a spread, as computed by a mathematical model.
Theoretical value: The estimated value of an option derived from a mathematical model. (See Model and Black-Scholes formula.) ...
Theoretical Value
The Fair Value calculation of an option using a pricing formula such as the Black-Scholes Options Pricing Model. ...
Theta ...
Theoretical value of an ETF, disseminated by Euronext throughout the trading session. The indicative net asset value (NAV) is used as the reference price:
by liquidity providers and intraday investors, ...
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Browse entries near Black-Scholes Option Pricing Model
black-eyed pea ...
A measure of the theoretical value of a zero-coupon bond at any given point in time. Because there are no interest payments like there are with traditional bonds, the interest of a zero-coupon bond accrues until maturity.
Kappa A measure of the rate of change in an option's theoretical value for a one-unit change in the volatility assumption. Lambda Least-squares AMBiguity Decorrelation Adjustment.
implied volatility A theoretical value designed to represent the volatility of the security underlying... implied warranty An unwritten warranty that results automatically from Federal or state laws.
Delta: The sensitivity of an option's theoretical value to a change in the price of the underlying entity.
The way in which the theoretical value of an option decreases as time passes. The specific measurement of the option's change in value over time is represented by the Greek letter theta.
Theoretical Value
The Theoretical Value of an option is expressed without the influences of the market, such as supply/demand, current volume traded, or expectations.
All other things being equal, an option's theoretical value is a monotonic increasing function of implied volatility. By computing the implied volatility for traded options with different strikes and maturities, the Black-Scholes model can be tested.
For options, ratio between the change in an option's theoretical value and the change in price of the underlying stock at a given point in time.
A mathematical model used to calculate the theoretical value of an option.
Option Pricing Model: A mathematical model used to calculate the theoretical value of an option.
The Black-Scholes formula is a mathematical formula for the theoretical value of European put and call stock options that may be derived from the assumptions of the model.
Implied volatility is a theoretical value that reflects the volatility of the security underlying an option as determined by the price of the option.
This formula can be used to calculate a theoretical value for an option using current stock prices, expected dividends, the option's strike price, expected interest rates, time to expiration and expected stock volatility.
If you wish to calculate the theoretical value of a specific stock option using the Black-Scholes model you may do so by using the free and easy-to-use online calculator found at Schaeffer's Investment Research.
Understanding Earnings Per Share ...
Vega. The sensitivity of the theoretical value of an option to a change in volatility.
Velocity of money. The rate at which money is turning over on an annual basis to facilitate income transactions.
5(Ht max + Lt min), the estimated coefficients of the normalised first cointegration vector should be close to their theoretical values (1, -0.5, -0.5, 0).
Rho
The expected change in an option's theoretical value for a 1 percent change in interest rates. See also Theoretical Value.
(1) The spread over an issuer's spot rate curve, developed as a measure of the yield spread that can be used to convert dollar differences between theoretical value and market prices.
When you have open positions, your NAV is calculated as the total assets in your account, plus the theoretical value of your open positions.
The volatility level that justifies an option's current price. This price is based on an option model such as the popular Black Scholes Model which yields a "theoretical value" for an option.
Income ...
Related: Margin, Security deposit (initial) Option-adjusted spread (OAS)The spread over an issuer's spot rate curve, developed as a measure of the yield spread that can be used to convert dollar differences between theoretical value and market ...
 See also: Option, Risk, Market, Trading, Options
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