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oaioai:kluedo.ub.rptu.de:1510

On the Pricing of Forward Starting Options under Stochastic Volatility

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Publication date
1 January 2003
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Abstract

We consider the problem of pricing European forward starting options in the presence of stochastic ­volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution based on Heston’s model of stochastic volatility

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Kaiserslauterer uniweiter elektronischer Dokumentenserver

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oaioai:kluedo.ub.rptu.de:1510
Last time updated on 22/02/2023

This paper was published in Kaiserslauterer uniweiter elektronischer Dokumentenserver.

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