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Article Dans Une Revue International Journal of Business Année : 2012

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.
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Dates et versions

hal-00924287 , version 1 (06-01-2014)

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  • HAL Id : hal-00924287 , version 1

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Tristan Guillaume. A few insights into cliquet options. International Journal of Business, 2012, 17 (2), pp.163-180. ⟨hal-00924287⟩
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