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Time value, the portion of a warrant's price that is not accounted for by the intrinsic value.
Underlying or underlying security, the security over which the warrant is issued.
VDAX, volatility index for the German DAX, often used as a proxy for European volatility levels.
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Volatility IndeX, which gives a measure of implied volatility for the US S&P index, vega.
The sensitivity of a warrant's theoretical value to a change in volatility, volatility.
Volatility represents the magnitude of the price of the underlying security's movements during a specific time period, the historical volatility of the underlying security can be calculated taking the annualised standard deviation of its return during a defined period, however, when pricing a warrant, it is necessary to take into consideration the volatility which is anticipated or ''implied'' by the financial markets for the period equal to the maturity of the warrant as it estimates the probability that the warrant will expire in-the-money or more deeply so.
Warrant, a Securitised Derivative that cannot be short sold.
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