Pricing Cliquet Options in Jump-Diffusion Models

DOI10.1080/15326340500294587zbMath1087.60053OpenAlexW1998141819MaRDI QIDQ5711157

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Publication date: 9 December 2005

Published in: Stochastic Models (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/15326340500294587

zbMATH Keywords

equivalent martingale measureoption pricingjump-diffusion modelscliquet options

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (2)

Cliquet option pricing with Meixner processes ⋮ Cliquet option pricing in a jump-diffusion Lévy model

Cites Work

• The Pricing of Options and Corporate Liabilities
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Option Pricing For Jump Diffusions: Approximations and Their Interpretation
• Option pricing when underlying stock returns are discontinuous

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