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Forward-Start Options in Stochastic Volatility Model · Study

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ArticleForward-Start Options in Stochastic Volatility Model

Valdimir Lucic2003

Article2003

Forward-Start Options in Stochastic Volatility Model

39 citations·0/0 files stored·Wilmott

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Stochastic processes and financial applications Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options 1999Continuous Martingales and Brownian Motion 2000Transform Analysis and Asset Pricing for Affine Jump-diffusions 2000Derivatives in Financial Markets with Stochastic Volatility 2000Introduction and Summary of Results (Excerpt)2000The Term Structure of Implied Volatility 1999Stochastic Volatility With an Ornstein–Uhlenbeck Process: An Extension 1998Complications with stochastic volatility models

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2016Change of numeraire in the two-marginals martingale transport problem 2013The Small-Maturity Heston Forward Smile 2021A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model

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Year2003

Typearticle

Published2003-09-01

VenueWilmott

ISSN-L1540-6962

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1002/wilm.42820030518

openalex_workW2068239087

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