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Pricing cliquet options by tree methods

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  • Marcellino Gaudenzi
  • Antonino Zanette

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  • Marcellino Gaudenzi & Antonino Zanette, 2011. "Pricing cliquet options by tree methods," Computational Management Science, Springer, vol. 8(1), pages 125-135, April.
    • Handle: RePEc:spr:comgts:v:8:y:2011:i:1:p:125-135
    DOI: 10.1007/s10287-009-0109-4
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    References listed on IDEAS

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    1. H. A. Windcliff & P. A. Forsyth & K. R. Vetzal, 2006. "Numerical Methods and Volatility Models for Valuing Cliquet Options," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(4), pages 353-386.
    2. Cox, John C. & Ross, Stephen A. & Rubinstein, Mark, 1979. "Option pricing: A simplified approach," Journal of Financial Economics, Elsevier, vol. 7(3), pages 229-263, September.
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    Cited by:

    1. Alain François-Heude & Ouidad Yousfi, 2014. "On the liquidity of CAC 40 index options market," Post-Print hal-02050806, HAL.

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