Numerical Methods and Volatility Models for Valuing Cliquet Options

DOI10.1080/13504860600839964zbMath1142.91570OpenAlexW2106641117MaRDI QIDQ3424323

H. Windcliff, Kenneth Vetzal, Peter A. I. Forsyth

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

zbMATH Keywords

interpolationboundary conditionsjump diffusionvolatility modelscliquet options

Mathematics Subject Classification ID

Related Items (11)

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 ⋮ FORWARD START OPTIONS UNDER STOCHASTIC VOLATILITY AND STOCHASTIC INTEREST RATES ⋮ Applications of the central limit theorem for pricing cliquet-style options ⋮ AN ANALYTICAL APPROACH FOR VARIANCE SWAPS WITH AN ORNSTEIN–UHLENBECK PROCESS ⋮ Pricing EIA with cliquet-style guarantees under time-changed Lévy models by frame duality projection ⋮ Infinite reload options: pricing and analysis ⋮ Pricing cliquet options by tree methods ⋮ ON THE VALUATION OF DERIVATIVES WITH SNAPSHOT RESET FEATURES ⋮ Variance swaps valuation under non-affine GARCH models and their diffusion limits ⋮ The effect of policyholders’ rationality on unit-linked life insurance contracts with surrender guarantees

Cites Work

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• Financial Modelling with Jump Processes
• Option pricing when underlying stock returns are discontinuous
• Implicit solution of uncertain volatility/transaction cost option pricing models with discretely observed barriers.
• Shout options: A framework for pricing contracts which can be modified by the investor

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