RANDOM TIME FORWARD-STARTING OPTIONS

DOI10.1142/S0219024916500503zbMath1396.91712arXiv1504.03552OpenAlexW3121777978MaRDI QIDQ2953302

Alessandro Ramponi, Sergio Scarlatti, Fabio Antonelli

Publication date: 4 January 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1504.03552

zbMATH Keywords

random timesCVAforward-starting optionscliquets options

Mathematics Subject Classification ID

Martingales with continuous parameter (60G44) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items

CVA and vulnerable options pricing by correlation expansions ⋮ CVA AND VULNERABLE OPTIONS IN STOCHASTIC VOLATILITY MODELS

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