Numerical Methods and Volatility Models for Valuing Cliquet Options

DOI10.1080/13504860600839964MaRDI QIDQ3424323zbMATH OpenOpenAlexFDO

Authors H. Windcliff, P. A. Forsyth, K. R. Vetzal

Publication date 15 February 2007

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/13504860600839964

zbMATH Keywords

interpolationjump diffusionboundary conditionsvolatility modelscliquet options

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Continuous-time Markov processes on general state spaces (60J25)

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Cites work

• scientific article; zbMATH DE number 473351 (Why is no real title available?)
• A penalty method for American options with jump diffusion processes
• Convergence of numerical methods for valuing path-dependent options using interpolation
• Far field boundary conditions for Black-Scholes equations
• Financial Modelling with Jump Processes
• Finite element solution of diffusion problems with irregular data
• Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
• Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
• Numerical convergence properties of option pricing PDEs with uncertain volatility
• Option pricing when underlying stock returns are discontinuous
• Robust numerical methods for contingent claims under jump diffusion processes
• Shout options: A framework for pricing contracts which can be modified by the investor

Cited in

(17)

• Cliquet option pricing with Meixner processes
• Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
• Infinite reload options: pricing and analysis
• An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
• Applications of the central limit theorem for pricing cliquet-style options
• Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
• Pricing cliquet options by tree methods
• Pricing Cliquet Options in Jump-Diffusion Models
• Pricing and hedging of cliquet options and locally capped contracts
• An efficient binomial tree method for cliquet options
• The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
• Variance swaps valuation under non-affine GARCH models and their diffusion limits
• Forward start foreign exchange options under Heston's volatility and the CIR interest rates
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
• ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
• Cliquet option pricing in a jump-diffusion Lévy model
• FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES

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