A generalization of Rubinstein's "Pay Now, Choose Later"

作者：Guo Jia Hau; Hung Mao Wei^*

来源：Journal of Futures Markets, 2008, 28(5): 488-515.

DOI：10.1002/fut.20311

This article provides quasi-analytic pricing formulae for forward-start options under stochastic volatility, double jumps, and stochastic interest rates. Our methodology is a generalization of the Rubinstein approach and can be applied to several existing option models. Properties of a forward-start option may be very different from those of a plain vanilla option because the entire uncertainty of evolution of its price is cut off by the strike price at the time of determination. For instance, in contrast to the plain vanilla option, the value of a forward-start option may not always increase as the maturity increases. It depends on the current term structure of interest rates.

• 出版日期2008-5
• 单位苏州大学