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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Bibliographic Details
Main Author: Nunes, J. P. V. (author)
Other Authors: Alcaria, T. R. V. (author)
Format: article
Language:eng
Published: 2016
Subjects:
Forward start options
Stochastic volatility and interest rates
Jump-diffusion processes
Discrete Fourier transform
Gaussian quadratures
COS approximation
Online Access:http://hdl.handle.net/10071/12165
Country:Portugal
Oai:oai:repositorio.iscte-iul.pt:10071/12165

Internet

http://hdl.handle.net/10071/12165

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