{"entities":{"Q2488478":{"pageid":2499221,"ns":120,"title":"Item:Q2488478","lastrevid":74284722,"modified":"2026-04-14T19:20:45Z","type":"item","id":"Q2488478","labels":{"en":{"language":"en","value":"On the pricing of forward starting options in Heston's model on stochastic volatility"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 5026047"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488478$82527DBF-81AB-4520-9ECB-B823850246E9","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"51da50a5c9959c585549d02dd909e74a370bb1ed","datavalue":{"value":{"text":"On the pricing of forward starting options in Heston's model on stochastic volatility","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q2488478$7D61E6A0-A868-4E7B-9BDF-15DE73F7A44A","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"1ea2f2b2a1ad029ac1f029b3b835f7e9626c11f6","datavalue":{"value":"1092.91026","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$73991BF4-DE1B-4B04-991F-AB09AF0FDD01","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"7e433fcc2114a407529371f0000cc7a8ed765cd9","datavalue":{"value":{"entity-type":"item","numeric-id":424679,"id":"Q424679"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488478$405C966E-4F3B-4A74-B47B-EB066EB01D0F","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"c6cceef23350db04ff6332ad325c88c57ec2a0a8","datavalue":{"value":{"entity-type":"item","numeric-id":2488477,"id":"Q2488477"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488478$2AA3573F-83B0-41DF-8A48-53D2A86968F3","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"fc3cbe8cf287fdb2a81bc60a8afce4592cfe9e54","datavalue":{"value":{"entity-type":"item","numeric-id":135345,"id":"Q135345"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488478$21D925E7-6B9C-4306-9874-512F264A899E","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"d7b21c7671b012b0ad83eca48e2d6c5b53ecb4b4","datavalue":{"value":{"time":"+2006-05-24T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q2488478$DD5F87CB-BF2E-4D2C-9469-E5A7E6F6ABA7","rank":"normal"}],"P1448":[{"mainsnak":{"snaktype":"value","property":"P1448","hash":"6c2701ad787980baa1a486c2f723af24ac7ad2e7","datavalue":{"value":"The authors consider the problem of pricing forward starting options in the presence of stochastic volatility. Heston's framework is used for the description of a volatility. Some reasons in favor of such model are produced. The main contributions of the paper are the following ones: with the help of Girsanov's theorem the authors change the martingale measure using the asset price at the strike determination as a numeraire. Then, they take the distribution of the volatility process into account and obtain a closed-form solution to the pricing problem of forward starting options in the presence of stochastic volatility. A formula of practical relevance is derived which covers the extreme exposure of forward starting options to a randomly changing volatility. At last, the usefulness of this formula is illustrated by numerical examples.","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488478$B5A51310-68F5-406D-9EFD-AFA5313FB7B8","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"82cd6ba3de809c77ad4ab5a51dd4d14c3b158a01","datavalue":{"value":"91G20","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$F0FC1EA0-1A53-483E-836B-B95E4A15940E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"54006f64703308f565a048b96b7c6d14d8f5c177","datavalue":{"value":"60G44","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$0AD5006C-7C7C-48E9-8C82-B3A8DFC9F754","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"772afcc76afc6ed455612e61ae15c7b17b2b953a","datavalue":{"value":"60H30","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$A7D5AE06-4C0C-4025-AB83-9BEF3F415250","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"739e004674139c2b61782ece3788a457e8d3f5b8","datavalue":{"value":"60E10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$1A186EC5-9CE7-48AC-A2C1-19B75D2C9804","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"762b6979ca3b0d29f142d8f76bbca3b88d458c42","datavalue":{"value":"5026047","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$D401CB55-D26B-4663-9C00-7015C00D9BAF","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"1d25fc6263aec5ba5f911ee3a07dab9c1e6ca07d","datavalue":{"value":"forward starting options","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488478$A6C5012C-C17B-47DA-8865-F84DF151B81B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"ec46887304b6a2d38399f2ce3a2546f3ca2fc4cb","datavalue":{"value":"Heston's model","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488478$A476A8B6-D8E5-48E6-8370-A57C8B8BF596","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"a6b3db35268ac10fd6bfc17f9e82ae665d503f97","datavalue":{"value":"stochastic volatility","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488478$E88944C4-E930-4317-AEC4-A37C22B0CFB2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b1f2ddce604924ab32527569a0f52666c50cc2ec","datavalue":{"value":"option pricing","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488478$21B1344E-64C8-4D0C-8AC6-88E4BF2B9D83","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"5ca874cc60e5f9c11498a140bf70e5ce25974682","datavalue":{"value":"Girsanov's theorem","type":"string"},"datatype":"string"},"type":"statement","id":"Q2488478$1C8EC034-DC1B-48E7-BA80-515B99418A4C","rank":"normal"}],"P1447":[{"mainsnak":{"snaktype":"value","property":"P1447","hash":"fe109cf65b5e526b78e778f4289ef05f064c0043","datavalue":{"value":{"entity-type":"item","numeric-id":590139,"id":"Q590139"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488478$A787736C-CCB6-4D3C-BC06-915A32F404F6","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q2488478$D68FF980-A65C-45B4-98DD-C1291067A5CC","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"a42abd3530144be0f367ce272f65e345e9a64d28","datavalue":{"value":"https://doi.org/10.1007/s00780-004-0146-3","type":"string"},"datatype":"url"},"type":"statement","id":"Q2488478$66F02FE8-66B8-4F40-B53E-DFDFF6215AD7","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"3f9eefe5d2a1a45c7c8779895b74a3938a7e670b","datavalue":{"value":"W2037891356","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$946489AC-AFAB-4566-9A72-ADFD0DAB2435","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"743081423c79b6d7eeb6584179786e03a474953e","datavalue":{"value":"10.1007/S00780-004-0146-3","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q2488478$192A2875-BE35-4F0C-844F-CFB32E008745","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"7acd5c3a5792baadc9837ce5afaab3191bdd0ecb","datavalue":{"value":{"entity-type":"item","numeric-id":2131630,"id":"Q2131630"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"e46a7d04d232d559230f4823f680304d75cf95fe","datavalue":{"value":{"amount":"+0.8337394595146179","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488478$5FA23F53-D514-4FBB-AFD1-B2425775B80E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"771325c5c862bf5a0d1a592bbac3d8792fb22ffe","datavalue":{"value":{"entity-type":"item","numeric-id":2359987,"id":"Q2359987"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"8779a6477d086e57000a0218abd40f0ee32b01f2","datavalue":{"value":{"amount":"+0.8102593421936035","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488478$E8245C32-50F7-40F3-B4B3-0B8BF503D426","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"a5b7972c65a73bcf30630bb8b36c704c30ba259c","datavalue":{"value":{"entity-type":"item","numeric-id":902796,"id":"Q902796"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"77a326313f2cc041112309b423d4c4590888007c","datavalue":{"value":{"amount":"+0.807938814163208","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488478$32A73B6D-55AF-4571-BD1D-6E8D51CE8700","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"fab9f9cd83684bead379f6978490e3bc7e56c08b","datavalue":{"value":{"entity-type":"item","numeric-id":4598592,"id":"Q4598592"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"17dc9a817edcee2f621f3056ec5af08a1e5c04d3","datavalue":{"value":{"amount":"+0.8069747090339661","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488478$87F428A3-88E5-4CCE-84F6-9C0A47415AAE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"e78937863fb97ecf4134486028c704e6f2b4e127","datavalue":{"value":{"entity-type":"item","numeric-id":5195938,"id":"Q5195938"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"a4feea9dc71a1a6ed9b1600e1daf317898a8283e","datavalue":{"value":{"amount":"+0.7927839159965515","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q2488478$F15B9136-49AD-4FCB-BE75-9DD3AF242F07","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"On the pricing of forward starting options in Heston's model on stochastic volatility","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/On_the_pricing_of_forward_starting_options_in_Heston%27s_model_on_stochastic_volatility"}}}}}