Forward Start Options
Forward start options are priced using the Rubinstein (1990) formula: 
where 
, 
and where 
c = Price of European call p = Price of European put S = The spot of the underlying asset b = The cost of carry r = The risk free rate T = Time to expiry of the option t = Elapsed time N = The cumulative normal distribution function = a positive constant, where the strike = S = Volatility of underlying asset's price 

See Also 
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