OPT_FORWARD_START

OPT_FORWARD_START theoretical price of forward start options

Synopsis

OPT_FORWARD_START(call_put_flag,spot,alpha,time_start,time,rate,volatility,cost_of_carry)

Arguments

call_put_flag: 'c' for a call and 'p' for a put

spot: spot price

alpha: fraction setting the strike price at the future date time_start

time_start: time until the option starts in days

time: time to maturity in days

rate: annualized risk-free interest rate

volatility: annualized volatility of the asset

cost_of_carry: net cost of holding the underlying asset