Download This PaperA Review of Forward Starting Options Under Stochastic Numeraire
7 Pages Posted: 24 Jun 2019
Date Written: June 19, 2019
Abstract
The purpose of this note is to demonstrate the impact of stochastic rates when pricing forward starting options on single asset equity derivatives. We will assume Hull-White one factor short rate model for rates with constant volatility and time dependent instantaneous volatility for the underlying.
Keywords: cliquets, options, stochastic rates
Suggested Citation: Suggested Citation
Mital, Swati, A Review of Forward Starting Options Under Stochastic Numeraire (June 19, 2019). Available at SSRN: https://ssrn.com/abstract=3406356 or http://dx.doi.org/10.2139/ssrn.3406356
Do you have a job opening that you would like to promote on SSRN?
Feedback
Feedback to SSRN