Applications of the central limit theorem for pricing cliquet-style options

DOI10.1007/s13385-017-0158-yzbMath1405.91260OpenAlexW2755407523MaRDI QIDQ1689027

Jörg Wenzel, Ralf Korn, Busra Zeynep Temocin

Publication date: 12 January 2018

Published in: European Actuarial Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s13385-017-0158-y

zbMATH Keywords

Monte Carlo methodcentral limit theoremcliquet optionsimplied caps

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Central limit and other weak theorems (60F05) Derivative securities (option pricing, hedging, etc.) (91G20)

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Cites Work

• Unnamed Item
• Pricing cliquet options by tree methods
• Pricing and Hedging of Cliquet Options and Locally Capped Contracts
• Numerical Methods and Volatility Models for Valuing Cliquet Options
• Monte Carlo Methods and Models in Finance and Insurance
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options

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