Cliquet option pricing with Meixner processes

DOI10.15559/18-VMSTA96zbMath1390.91301arXiv1803.09444OpenAlexW3098970881MaRDI QIDQ1641936

Markus Hess

Publication date: 20 June 2018

Published in: Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.09444

zbMATH Keywords

Fourier transformstochastic differential equationcharacteristic functioncliquet option pricingequity indexed annuitylog-return of financial assetMeixner distributionMeixner-Lévy processpath-dependent exotic optionprobability measure change

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Cliquet option pricing in a jump-diffusion Lévy model

Cites Work

• Processes of Meixner type
• Pricing and Hedging of Cliquet Options and Locally Capped Contracts
• Lévy processes, polynomials and martingales
• Financial Modelling with Jump Processes
• Pricing Cliquet Options in Jump-Diffusion Models
• Unnamed Item
• Unnamed Item

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