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Forward Starting Option Model
- Author(s):
- Tim Xiao (see profile)
- Date:
- 2022
- Group(s):
- Business Management
- Subject(s):
- Options (Finance), Derivative securities
- Item Type:
- Essay
- Tag(s):
- forward start option, cliquet
- Permanent URL:
- https://doi.org/10.17613/w2gf-v049
- Abstract:
- A forward starting option is an option whose strike price is not fully determined until an intermediate date before expiration. A model is used to compute option price, Delta, Gamma, Hedge Rho, Discount Rho, Vega and Theta.
- Notes:
- https://finpricing.com/lib/EqCliquet.html
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 8 months ago
- License:
- Attribution
forwardlookingoption.pdf