Numerical Methods and Volatility Models for Valuing Cliquet Options
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DOI: 10.1080/13504860600839964
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References listed on IDEAS
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Cited by:
- Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2017. "Equity-linked annuity pricing with cliquet-style guarantees in regime-switching and stochastic volatility models with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 74(C), pages 46-62.
- Marcellino Gaudenzi & Antonino Zanette, 2011. "Pricing cliquet options by tree methods," Computational Management Science, Springer, vol. 8(1), pages 125-135, April.
- Alain François-Heude & Ouidad Yousfi, 2014.
"On the liquidity of CAC 40 index options market,"
Post-Print
hal-02050806, HAL.
- Alain François-Heude & Ouidad Yous, 2014. "On the liquidity of CAC 40 index options Market," Working Papers 2014-445, Department of Research, Ipag Business School.
- Ludovic Goudenege & Andrea Molent & Antonino Zanette, 2024. "Leveraging Machine Learning for High-Dimensional Option Pricing within the Uncertain Volatility Model," Papers 2407.13213, arXiv.org.
- Feng, Yaqin & Wang, Min & Zhang, Yuanqing, 2019. "CVA for Cliquet options under Heston model," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 272-282.
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Keywords
Cliquet options; jump diffusion; interpolation; boundary conditions; volatility models;All these keywords.
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