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- Fugit abstract "In mathematical finance, fugit is the optimal date to exercise an American- or Bermudan option. It is useful for hedging purposes; see Greeks (finance). The term was first introduced by Mark Garman in an article "Semper tempus fugit" published in 1989. The Latin term "tempus fugit" means "time flies" and Garman suggested the name because "time flies especially when you're having fun managing your book of American options".Fugit provides an estimate of when an option would be exercised, which is then a useful indication for the maturity to use when hedging American or Bermudan products with European options. Fugit is thus used for the hedging of convertible bonds, equity linked convertible notes, and any putable or callable exotic coupon notes. Although see and for qualifications here. Fugit is also useful in calculating the "effective time to exercise" for Employee stock options.Fugit is calculated as "the expected time to exercise of American options", and is also described as the "risk-neutral expected life of the option" The computation requires a binomial tree - although a Finite difference approach would also apply - where, a second quantity, additional to option price, is required at each node of the tree; see methodology aside. Note that Fugit is not always a unique value.Nassim Taleb proposes a “Rho fudge”, as a “shortcut method... to find the right duration ... for an American option”. Taleb terms this result “Omega” as opposed to Fugit. The formula is Omega = Nominal Duration x (Rho2 of an American option / Rho2 of a European option).Here, Rho2 refers to sensitivity to dividends or the foreign interest rate, as opposed to the more usual Rho which measures sensitivity to (local) interest rates. The latter is sometimes used, however.".
- Fugit wikiPageID "27859434".
- Fugit wikiPageLength "4664".
- Fugit wikiPageOutDegree "17".
- Fugit wikiPageRevisionID "681601413".
- Fugit wikiPageWikiLink Bermudan_option.
- Fugit wikiPageWikiLink Binomial_options_pricing_model.
- Fugit wikiPageWikiLink Category:Mathematical_finance.
- Fugit wikiPageWikiLink Convertible_bond.
- Fugit wikiPageWikiLink Employee_stock_option.
- Fugit wikiPageWikiLink European_option.
- Fugit wikiPageWikiLink Exotic_derivative.
- Fugit wikiPageWikiLink Exotic_derivatives.
- Fugit wikiPageWikiLink Finite_difference_methods_for_option_pricing.
- Fugit wikiPageWikiLink Greeks_(finance).
- Fugit wikiPageWikiLink Hedge_(finance).
- Fugit wikiPageWikiLink Latin.
- Fugit wikiPageWikiLink Mark_Garman.
- Fugit wikiPageWikiLink Mathematical_finance.
- Fugit wikiPageWikiLink Nassim_Nicholas_Taleb.
- Fugit wikiPageWikiLink Nassim_Taleb.
- Fugit wikiPageWikiLink Option_style.
- Fugit wikiPageWikiLink Risk-neutral.
- Fugit wikiPageWikiLink Risk_neutral.
- Fugit wikiPageWikiLinkText "Fugit".
- Fugit wikiPageWikiLinkText "fugit".
- Fugit hasPhotoCollection Fugit.
- Fugit wikiPageUsesTemplate Template:Other_uses.
- Fugit wikiPageUsesTemplate Template:Reflist.
- Fugit subject Category:Mathematical_finance.
- Fugit hypernym Date.
- Fugit type Field.
- Fugit type Occupation.
- Fugit comment "In mathematical finance, fugit is the optimal date to exercise an American- or Bermudan option. It is useful for hedging purposes; see Greeks (finance). The term was first introduced by Mark Garman in an article "Semper tempus fugit" published in 1989.".
- Fugit label "Fugit".
- Fugit sameAs m.0cc820d.
- Fugit sameAs Q5507261.
- Fugit sameAs Q5507261.
- Fugit wasDerivedFrom Fugit?oldid=681601413.
- Fugit isPrimaryTopicOf Fugit.