Chen, Ren-Raw; Huang, Jing-Zhi - In: Review of Quantitative Finance and Accounting 19 (2002) 3, pp. 261-72
The forward measure is convenient in calculating various contingent claim prices under stochastic interest rates. We demonstrate that caution needs to be drawn when the forward measure is used to price contingent claims that involve multiple cash flows. We also derive partial different equations...
