Year of publication
- 2003 (1) (remove)
- On the Pricing of Forward Starting Options under Stochastic Volatility (2003)
- We consider the problem of pricing European forward starting options in the presence of stochastic volatility. By performing a change of measure using the asset price at the time of strike determination as a numeraire, we derive a closed-form solution based on Heston’s model of stochastic volatility.