AHLIP, REHEZ; RUTKOWSKI, MAREK - In: International Journal of Theoretical and Applied … 12 (2009) 02, pp. 209-225
Forward start options are examined in Heston's (Review of Financial Studies 6 (1993) 327–343) stochastic volatility model with the CIR (Econometrica 53 (1985) 385–408) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to be correlated with...
