English, Article edition: FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES REHEZ AHLIP; MAREK RUTKOWSKI

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Physical Description
  • article
Language
  • English

Edition details

Title
  • FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
Author
  • REHEZ AHLIP
  • MAREK RUTKOWSKI
Physical Description
  • article
Notes
  • Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327â343) stochastic volatility model with the CIR (Econometrica 53 (1985) 385â408) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to be correlated with the dynamics of stock return. The main result is an analytic formula for the price of a forward start European call option. It is derived using the probabilistic approach combined with the Fourier inversion technique, as developed in Carr and Madan (Journal of Computational Finance 2 (1999) 61â73).
  • Forward start options, Heston's model, CIR model, affine models
  • RePEc:wsi:ijtafx:v:12:y:2009:i:02:p:209-225
Language
  • English
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