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A publicação pode ser exportada nos seguintes formatos: referência da APA (American Psychological Association), referência do IEEE (Institute of Electrical and Electronics Engineers), BibTeX e RIS.

Exportar Referência (APA) 
Nunes, J. P. V. & Alcaria, T. R. V. (2016). Valuation of forward start options under affine jump-diffusion models. Quantitative Finance. 16 (5), 727-747
Exportar Referência (IEEE) 
J. P. Nunes and T. Alcaria,  "Valuation of forward start options under affine jump-diffusion models", in Quantitative Finance, vol. 16, no. 5, pp. 727-747, 2016
Exportar BibTeX 
@article{nunes2016_1714026104208,
	author = "Nunes, J. P. V. and Alcaria, T. R. V.",
	title = "Valuation of forward start options under affine jump-diffusion models",
	journal = "Quantitative Finance",
	year = "2016",
	volume = "16",
	number = "5",
	doi = "10.1080/14697688.2015.1049200",
	pages = "727-747",
	url = "https://www.tandfonline.com/doi/full/10.1080/14697688.2015.1049200"
}
Exportar RIS 
TY  - JOUR
TI  - Valuation of forward start options under affine jump-diffusion models
T2  - Quantitative Finance
VL  - 16
IS  - 5
AU  - Nunes, J. P. V.
AU  - Alcaria, T. R. V.
PY  - 2016
SP  - 727-747
SN  - 1469-7688
DO  - 10.1080/14697688.2015.1049200
UR  - https://www.tandfonline.com/doi/full/10.1080/14697688.2015.1049200
AB  - Under the general affine jump-diffusion framework of Duffie et al. [Econometrica, 2000, 68, 1343–1376], this paper proposes an alternative pricing methodology for European-style forward start options that does not require any parallel optimization routine to ensure square integrability. Therefore, the proposed methodology is shown to possess a better accuracy–efficiency trade-off than the usual and more general approach initiated by Hong [Forward Smile and Derivative Pricing. Working paper, UBS, 2004] that is based on the knowledge of the forward characteristic function. Explicit pricing solutions are also offered under the nested jump-diffusion setting proposed by Bakshi et al. [J. Finance, 1997, 52, 2003–2049], which accommodates stochastic volatility and stochastic interest rates, and different integration schemes are numerically tested.
ER  -