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On the pricing of forward starting options in Heston’s model on stochastic volatility

✍ Scribed by Susanne Kruse; Ulrich Nögel

Publisher
Springer-Verlag
Year
2005
Tongue
English
Weight
302 KB
Volume
9
Category
Article
ISSN
0949-2984

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factors explicitly into account for a proper valuation and risk management of these securities. The performed analysis is facilitated by deriving closed-form formulas for the valuation of forward starting options, hereby taking the stochastic volatility, stochastic interest rates as well the depende