FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

被引：13

作者：

Ahlip, Rehez ^{[1
]}

Rutkowski, Marek ^{[2
]}

机构：

[1] Univ Western Sydney, Sch Comp & Math, Penrith, NSW 1797, Australia

[2] Univ New South Wales, Sch Math & Stat, Sydney, NSW 2052, Australia

来源：

INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2009年 / 12卷 / 02期

基金：

澳大利亚研究理事会;

关键词：

Forward start options; Heston's model; CIR model; affine models;

D O I：

10.1142/S0219024909005166

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327-343) stochastic volatility model with the CIR (Econometrica 53 (1985) 385-408) 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) 61-73).

引用

页码：209 / 225

页数：17

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