A few insights into cliquet options
Résumé
This paper deals with a subset of lookback options known as cliquet options. The latter lock in the best underlying asset price over a number of prespecified dates during the option life. The specific uses of these contracts are analyzed, as well as two different hedging techniques. Closed form valuation formulae are provided under standard assumptions. They are easy to implement, very efficient and accurate compared to Monte Carlo simulation approximations.
Fichier principal
A_few_insights_into_cliquet_options_TGuillaume.pdf (172.93 Ko)
Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)
Loading...