Pricing and hedging of cliquet options and locally capped contracts
type: Item
instance of: scholarly article
zbMATH Open document ID: 1282.91320
DOI: 10.1137/100818157
author: Carole Bernard
author: Wenbo V. Li
published in: SIAM Journal on Financial Mathematics
publication date: 2014-01-23T00:00:00Z
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 60E10
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 6249465
zbMATH Keywords: pricing
zbMATH Keywords: hedging
zbMATH Keywords: cliquet option
zbMATH Keywords: locally capped payoff
MaRDI profile type: MaRDI publication profile
OpenAlex ID: W2026671445
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title: Pricing and hedging of cliquet options and locally capped contracts
reviewed by: Răzvan Răducanu
description: scientific article; zbMATH DE number 6249465