Forward start options are examined in Heston's (Review of Financial Studies,Vol. 6, pp. 327–343, 1993) stochastic volatility model with the CIR (Econometrica, Vol. 53, pp. 385–408, 1985) stochastic interest rates. The instantaneous volatility and the instantaneous short rate are assumed to...

We examine the asymptotic behaviour of the call price surface and the associated Black-Scholes implied volatility surface in the small time to expiry limit under the condition of no arbitrage. In the final section, we examine a related question of existence of a market model with non-convergent...