SIMPLE PROCESSES AND THE PRICING AND HEDGING OF CLIQUETS

DOI10.1111/j.1467-9965.2011.00485.xzbMath1282.91340OpenAlexW3122726171MaRDI QIDQ4906520

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

Lévy processSato processpricing to acceptability

Mathematics Subject Classification ID

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

Related Items (4)

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 ⋮ MULTIVARIATE FACTOR-BASED PROCESSES WITH SATO MARGINS ⋮ Pricing of proactive hedging European option with dynamic discrete position strategy

Cites Work

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• Subordination, self-similarity, and option pricing
• Class L of multivariate distributions and its subclasses
• Self-similar processes with independent increments
• Pricing options on realized variance
• Coherent Measures of Risk
• SELF-DECOMPOSABILITY AND OPTION PRICING
• Short Positions, Rally Fears and Option Markets
• Pricing and hedging basket options to prespecified levels of acceptability
• The Variance Gamma Process and Option Pricing
• Stochastic finance. An introduction in discrete time
• Coherent risk measures and good-deal bounds

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