Valuation of forward start options under affine jump-diffusion models
Under the general affine jump-diffusion framework of Duffie et al. [Econometrica, 2000, 68, 1343–1376], this paper proposes an alternative pricing methodology for European-style forward start options that does not require any parallel optimization routine to ensure square integrability. Therefore, t...
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| Formato: | article |
| Idioma: | eng |
| Publicado em: |
2016
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| Texto completo: | http://hdl.handle.net/10071/12165 |
| País: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/12165 |