SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS

DOI10.1111/J.1467-9965.2011.00485.XMaRDI QIDQ4906520zbMATH OpenOpenAlexFDO

Authors Dilip B. Madan, Wim Schoutens

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2011.00485.x

zbMATH Keywords

Sato processLévy processpricing to acceptability

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• scientific article; zbMATH DE number 3396854 (Why is no real title available?)
• Class L of multivariate distributions and its subclasses
• Coherent measures of risk
• Coherent risk measures and good-deal bounds
• Pricing and hedging basket options to prespecified levels of acceptability
• Pricing options on realized variance
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Self-similar processes with independent increments
• Short positions, rally fears and option markets
• Stochastic finance. An introduction in discrete time
• Subordination, self-similarity, and option pricing
• The Variance Gamma Process and Option Pricing

Cited in

(7)

• The price of liquidity in constant leverage strategies
• PRICING OF TRAFFIC LIGHT OPTIONS AND OTHER HYBRID PRODUCTS
• Pricing of proactive hedging European option with dynamic discrete position strategy
• Sato processes and the valuation of structured products
• Multivariate factor-based processes with Sato margins
• Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps
• Conic coconuts: the pricing of contingent capital notes using conic finance

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