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Forward-Start Options in Stochastic Volatility Model

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References

1993A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options8,768 cited
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1998Complications with stochastic volatility models157 cited

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2016Change of numeraire in the two-marginals martingale transport problem31 cited
2013The Small-Maturity Heston Forward Smile26 cited
2021A closed-form pricing formula for forward start options under a regime-switching stochastic volatility model25 cited
2016The forward smile in local–stochastic volatility models20 cited

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