The document discusses the impact of volatility and interest rates on option premiums, specifically focusing on capped options. It explains the concept of cap intervals and cap prices, providing examples of capped call and put index options. The automatic exercise value of capped options is also described, with an example illustrating how it is determined based on the underlying interest's price or level at a specified time each trading day.
documents/vol00010-efta01353414-pdf.pdf
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