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Forward Starting Option Model
- Author(s):
- David Lee (see profile)
- Date:
- 2023
- Group(s):
- Business Management
- Subject(s):
- Options (Finance), Valuation, Risk management
- Item Type:
- Report
- Tag(s):
- forward start option, option valuation, sensitivity
- Permanent URL:
- https://doi.org/10.17613/mfe9-5e82
- Abstract:
- A valuation model is presented to calculate price, hedge ratio, and implied volatility for forward starting European calls and puts. The model focuses on the numerical accuracy of the implementation.
- Notes:
- https://mpra.ub.uni-muenchen.de/117775/1/EquityLinkedNote.pdf
- Metadata:
- xml
- Status:
- Published
- Last Updated:
- 1 month ago
- License:
- Attribution
forwardstartoption.pdf