Numerical Methods and Volatility Models for Valuing Cliquet Options
DOI10.1080/13504860600839964zbMATH Open1142.91570OpenAlexW2106641117MaRDI QIDQ3424323FDOQ3424323
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
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Cites Work
- Financial Modelling with Jump Processes
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- Option pricing when underlying stock returns are discontinuous
- Far field boundary conditions for Black-Scholes equations
- Jump-diffusion processes: volatility smile fitting and numerical methods for option pricing
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- Finite element solution of diffusion problems with irregular data
- A penalty method for American options with jump diffusion processes
- Robust numerical methods for contingent claims under jump diffusion processes
- Shout options: A framework for pricing contracts which can be modified by the investor
- Convergence of numerical methods for valuing path-dependent options using interpolation
- Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
Cited In (17)
- Infinite reload options: pricing and analysis
- Variance swaps valuation under non-affine GARCH models and their diffusion limits
- An efficient binomial tree method for cliquet options
- Pricing cliquet options by tree methods
- FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES
- Pricing Cliquet Options in Jump-Diffusion Models
- ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES
- Cliquet option pricing in a jump-diffusion Lévy model
- Applications of the central limit theorem for pricing cliquet-style options
- Pricing and hedging of cliquet options and locally capped contracts
- 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
- The effect of policyholders' rationality on unit-linked life insurance contracts with surrender guarantees
- An analytical approach for variance swaps with an Ornstein-Uhlenbeck process
- Cliquet option pricing with Meixner processes
- Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection
- Forward starting options pricing under a regime-switching jump-diffusion model with Wishart stochastic volatility and stochastic interest rate
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