In addition, the authors find that policyholders who--due to a larger face value of their VA policy--are suspected of being more financially literate also surrender with greater sensitivity to the "
moneyness" of the underlying guarantee.
nominal value--or
moneyness (106)--are in fact sensitive to the
The pricing formula applies when the option is sufficiently far out of the money (operationally, a relative exercise price or
moneyness of 0.9 or less) and when the maturity length is not too long (operationally, up to 6 months).
Liquidity is, in essence, "
moneyness." The safe harbors enhance the money-like qualities of one class of financial instruments by removing them from legal institutions that apply to most other classes of financial instruments.
To investigate its applicability in some settings, the empirical Esscher transform is applied to price European call options across a range of
moneyness and maturities.
Keywords: options, implied volatility, informed trading,
moneyness, volatility smirk.
Therefore, the
moneyness of the option will determine the relevance of earnings information for bond traders.
It cannot be used in the other direction, starting with the observed history of a commodity and passing judgment on its
moneyness.
The
moneyness of this call option changes in periods of market stress, making gold mining stocks act more like gold and less like a typical equity.
(127) Doug Noland, "The Curse of
Moneyness," Credit Bubble Bulletin, Asia Times Online, February 20, 2015.
