# Questions tagged [forward-start]

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### Show that a forward starting option has 0 delta, and no sensitivity to volatility until the strike is determined

I need to show that the payoff: $([(S_{T2}-S_{T1})/S_{T1}]-k)^+$ a. Has 0 delta b. Has no sensitivity to quadratic variation of the underlying till $T_1$ Additionally, I would like to know for what ...
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I'm trying to price a forward start option with payoff $\Big(\dfrac{S_{T_2}}{S_{T_1}}-1\Big)^+$ with Heston Monte Carlo. Heston Model: $$dS_t = rS_tdt + \sqrt{v_t}S_tdW_t^1$$ $$dv_t = \kappa(m-v_t) +... 0answers 90 views ### Price of Interest Rate Swap (Float-Float) Let say I have 2 Forward start Float-Float Interest Rate Swaps starting in 1 year and 2 years and both have 5 years of life. I know the prices of both these swaps say P_1 and P_2 Given this ... 1answer 239 views ### Swaption on Forward-Starting Swap "Replication"? Lately I was thinking about forward-starting swaptions vs. options on forward-starting swaps a bit, and I started wondering about the following: Suppose we are at time T_0 (today) and we want to ... 0answers 58 views ### Is the implied volatility different for forward starting caps? Suppose we know (from looking at an available volatility surface) the implied volatility (flat volatility) of a cap with a maturity of 10 years and strike of 1%. This would correspond to a cap that's ... 0answers 65 views ### Multiple max/min forward start option I want to calculate the price at t for such payoff at T$$\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 ...
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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 ...
### 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, ...