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A forward-start call fixes its strike at a future time as a multiple of the stock price then. In a homogeneous binomial model, its time-zero price reduces to that of an ordinary call over the remaining periods.

Ancestors (7)

  1. European call option
  2. Fundamental theorem of asset pricing
  3. Mathematical finance
  4. Mathematical optimization
  5. Area of mathematics
  6. Mathematics
  7. Home