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Questions tagged [forward-start]

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2
votes
0answers
48 views

Multiple max/min forward start option

I want to calculate the price at $t$ for such payoff at $T$ $$\max(S_T,S_{T_0},C),$$ $$\max\left(S_T,\min(S_{T_0}, C)\right),$$ $$S_T -\min(S_{T_0}, C),$$ $$t<T_0<T.$$ Is there any way or ...
0
votes
1answer
3k views

Skew and shadow delta

The presence of skew causes a correlation between volatility and spot. This correlation produces a negative shadow delta for all forward starting products (forward starting options have a theoretical ...
0
votes
1answer
127 views

How to price a forward struck contract today by changing from a $T>T'$ forward measure to $T'$ forward measure at time $t<T'<T$?

Suppose that the payoff of some contract is $V_{T}=S_{T}-S_{T'}$ where $T'<T$ and we want to value the contract at time $t<T'$ (the situation where this arises could be a total return swap, ...
4
votes
1answer
449 views

Why buy/sell a forward starting option?

More precisely, in equity markets, why would one prefer to buy a forward starting option over a vanilla option ? What about the selling side ?