On the pricing of forward starting options in Heston’s model on stochastic volatility
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- Elisa Alos & Antoine Jacquier & Jorge Leon, 2017. "The implied volatility of Forward-Start options: ATM short-time level, skew and curvature," Papers 1710.11232, arXiv.org.
- Damien Ackerer & Damir Filipovic & Sergio Pulido, 2017. "The Jacobi Stochastic Volatility Model," Working Papers hal-01338330, HAL.
- Susanne Griebsch & Uwe Wystup, 2011.
"On the valuation of fader and discrete barrier options in Heston's stochastic volatility model,"
Taylor & Francis Journals, vol. 11(5), pages 693-709.
- Griebsch, Susanne & Wystup, Uwe, 2008. "On the valuation of fader and discrete barrier options in Heston's Stochastic Volatility Model," CPQF Working Paper Series 17, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF).
- Fabio Antonelli & Alessandro Ramponi & Sergio Scarlatti, 2015. "Random Time Forward Starting Options," Papers 1504.03552, arXiv.org.
- Elisa Alòs & Antoine Jacquier & Jorge A. León, 2017.
"The implied volatility of forward starting options: ATM short-time level, skew and curvature,"
Economics Working Papers
1568, Department of Economics and Business, Universitat Pompeu Fabra.
- Elisa Alòs & Antoine Jacquier & Jorge A. León, 2017. "The Implied Volatility of Forward Starting Options: ATM Short-Time Level, Skew and Curvature," Working Papers 988, Barcelona Graduate School of Economics.
- Damien Ackerer & Damir Filipovi'c & Sergio Pulido, 2016. "The Jacobi Stochastic Volatility Model," Papers 1605.07099, arXiv.org, revised Mar 2018.
- Coqueret, Guillaume & Tavin, Bertrand, 2016. "An investigation of model risk in a market with jumps and stochastic volatility," European Journal of Operational Research, Elsevier, vol. 253(3), pages 648-658.
More about this item
KeywordsForward starting options; Heston’s model; stochastic volatility; cliquet options; option pricing; Girsanov’s theorem;
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