2008•Journal of Shanxi UniversityRequires access

Approximately Pricing of Forward Starting Options under Stochastic Jump Circumstance

Xiao Qing-xian

Abstract

The problem of forward starting options in jump-diffusion models is considered.Firstly,the explicit equivalent martingale measure is presented by Girsanov theorem.Secondly,a computable price formula of a forward starting option is deduced using the martingale pricing method.The approximate price of a forward option as possible as accurate can be got by using the formula.

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Available abstract

Key concepts: Girsanov theorem, Martingale (probability theory), Martingale pricing, Jump diffusion, Mathematical economics, Forward price, Asian option, Local martingale