Pricing cliquet options by tree methods

DOI10.1007/S10287-009-0109-4zbMath1214.91133OpenAlexW2071324773MaRDI QIDQ545527

Antonino Zanette, Marcellino Gaudenzi

Publication date: 22 June 2011

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-009-0109-4

zbMATH Keywords

singular pointsoption pricingcliquet optionstree methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (1)

Applications of the central limit theorem for pricing cliquet-style options

Cites Work

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• Numerical Methods and Volatility Models for Valuing Cliquet Options
• The singular points binominal method for pricing American path-dependent options
• Option pricing: A simplified approach

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