Applications of the central limit theorem for pricing cliquet-style options (Q1689027)
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scientific article; zbMATH DE number 6825061
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Applications of the central limit theorem for pricing cliquet-style options |
scientific article; zbMATH DE number 6825061 |
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Applications of the central limit theorem for pricing cliquet-style options (English)
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12 January 2018
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cliquet options
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central limit theorem
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Monte Carlo method
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implied caps
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0.8844306
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0.88377887
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0.8812255
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0.87077045
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0.8597267
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0.85899055
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0.8519374
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0.8517784
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0.85169804
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