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In mathematical finance, fugit is the optimal date to exercise an American- or Bermudan option. It is useful for hedging purposes here; see Greeks (finance). The term was first introduced by Mark Garman in an article "Semper tempus fugit" published in 1989.〔Mark Garman in an article "Semper tempus fugit" published in 1989 by Risk Publications, and included in the book "From Black Scholes to Black Holes" pages 89-91〕 The Latin term "tempus fugit" means "time flies"〔(【引用サイトリンク】url=http://audiolatinproverbs.blogspot.com/2006/11/tempus-it-et-tamquam-mobilis-aura.html )〕 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.〔 Eric Benhamou: (Fugit (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 〔Christopher Davenport, Citigroup, 2003. "Convertible Bonds A Guide".〕 and 〔Paul Wilmott's comment on (a wilmott.com forum ): "But, yes, remember that you need to put the real drift in there otherwise it's just the risk-neutral time and therefore not so relevant."〕 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"〔Mark Rubinstein in an article "Guiding force"; the calculation is detailed on pages 43 and 44, as well as in (Exotic Options ), a working paper by the same author.〕 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;〔 (Example VBA code )〕 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”. 〔(Pg. 178 ) of Nassim Taleb (1997). ''Dynamic Hedging: Managing Vanilla and Exotic Options''. New York: John Wiley & Sons. ISBN 0-471-15280-3. 〕 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.〔See for example (this discussion ) on nuclearphynance.com. 〕 ==References== 抄文引用元・出典: フリー百科事典『 ウィキペディア（Wikipedia）』 ■ウィキペディアで「Fugit」の詳細全文を読む スポンサード リンク
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