Title:

Valuation of Forward Start Options under Affine Jump-Diffusion Models

Authors:

João Pedro Vidal Nunes (ISCTE - Instituto Universitário de Lisboa)
Tiago Ramalho Viegas Alcaria (ISCTE - Instituto Universitário de Lisboa)

Journal:

Quantitative Finance

Year:

2016

Volume:

16

Number:

5

Pages:

727-747

JEL code:

G13 - Contingent Pricing; Futures Pricing