An efficient binomial tree method for cliquet options

MaRDI QIDQ2895902zbMATH OpenFDO

Authors Kyoung-Sook Moon, Hongjoong Kim

Publication date 13 July 2012

Published in Journal of the Korean Society for Industrial and Applied Mathematics (Search for Journal in Brave)

zbMATH Keywords

binomial tree methodcliquet optionsoption pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20)

Recommendations

• Pricing cliquet options by tree methods
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• An efficient binomial method for pricing American options
• Convergence of Binomial Tree Methods for European/American Path-Dependent Options
• A mathematical modeling for the lookback option with jump-diffusion using binomial tree method

Cited in

(3)

• How to speed up the quantization tree algorithm with an application to swing options
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• Pricing cliquet options by tree methods

This page was built for publication: An efficient binomial tree method for cliquet options

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2895902)