On the pricing of forward starting options in Heston's model on stochastic volatility

DOI10.1007/s00780-004-0146-3zbMath1092.91026OpenAlexW2037891356MaRDI QIDQ2488478

Ulrich Nögel, Susanne Kruse

Publication date: 24 May 2006

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-004-0146-3

zbMATH Keywords

stochastic volatilityoption pricingGirsanov's theoremforward starting optionsHeston's model

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

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