ForwardStartBS {QFRM}

ForwardStart option valuation via Black-Scholes (BS) model

Description

Compute the price of Forward Start options using BSM. A forward start option is a standard European option whose strike price is set equal to current asset price at some prespecified future date. Employee incentive options are basically forward start option

Usage

ForwardStartBS(o = OptPx(Opt(Style = "ForwardStart")), tts = 0.1)

Arguments

o

an OptPx object including basic information of an option

tts

Time to start of the option (in years)

Details

A standard European option starts at a future time tts.

Value

The original user-supplied OptPX object with price field PxBS and any other provided user-supplied parameters.

Author(s)

Tongyue Luo, Department of Statistics, Rice University, Spring 2015

References

Hull, John C., Options, Futures and Other Derivatives, 9ed, 2014. Prentice Hall. ISBN 978-0-13-345631-8.http://www-2.rotman.utoronto.ca/~hull/ofod/index.html. p.602

Examples

(o = ForwardStartBS())$PxBS

o = OptPx(Opt(Style='ForwardStart', Right='Put'))
(o = ForwardStartBS(o))$PxBS