Main content

Equity derivatives  /

Forward starting Asian option

  0
Contributors:

Date created: | Last Updated:

: DOI | ARK

Creating DOI. Please wait...

Create DOI

Category: Methods and Measures

Description: The strike price of a forward starting option is not fully determined until an intermediate date before the maturity date. We present a model for pricing forward-starting single currency arithmetic Asian call and put options on a single equity (stock or index) underlier. We also examine delta, gamma, Vega and rho hedge ratio calculations.

Wiki

Add important information, links, or images here to describe your project.

Files

Files can now be accessed and managed under the Files tab.

Citation

Recent Activity

OSF does not support the use of Internet Explorer. For optimal performance, please switch to another browser.
Accept
This website relies on cookies to help provide a better user experience. By clicking Accept or continuing to use the site, you agree. For more information, see our Privacy Policy and information on cookie use.
Accept
×

Start managing your projects on the OSF today.

Free and easy to use, the Open Science Framework supports the entire research lifecycle: planning, execution, reporting, archiving, and discovery.

Copyright © 2011-2025 Center for Open Science | Terms of Use | Privacy Policy | Status | API
TOP Guidelines | Reproducibility Project: Psychology | Reproducibility Project: Cancer Biology