Page 66 - PRIAA Glossary

EXERCISE
The process by which the holder of an option (the option buyer) has the right, but not the obligation, to buy or sell the relevant underlying security at the predetermined strike price.
EXERCISE DAY
The day on which the holder of an option (the option buyer) has the right, but not the obligation, to buy or sell the relevant underlying security at the predetermined strike price.
EXERCISE PRICE
The price at which a holder of an option (the option buyer) has the right to buy (call) or sell (put) the underlying security.
EXOTIC OPTION
An non-standard, non-vanilla option. This is usually taken to mean an option which is not standard European or American.
EXPECTED EXPOSURE (EE)
The expected net value of a portfolio as a function of time. When a portfolio is simulated over thousands of paths, EE for a fixed time is calculated as (sum of theoretical values (TVs) on paths where TV > 0)/(total number of paths).
EXPECTED NEGATIVE EXPOSURE (ENE)
The expected negative net value of a portfolio as a function of time. When a portfolio is simulated over thousands of paths, ENE for a fixed time is calculated as:
Sum of theoretical values (TVs) on paths where TV < 0/Total number of paths
ENE is much like expected exposure (EE) but restricted to paths of negative TV.
EXPECTED POSITIVE EXPOSURE (EPE)
The expected positive net value of a portfolio as a function of time. When a portfolio is simulated over thousands of paths, EPE for a fixed time is calculated as:
Sum of theoretical values (TVs) on paths where TV > 0 / Total number of paths
EPE is much like expected exposure (EE) but restricted to paths of positive TV.
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