Numerical Pricing of Cliquet Options
Masterarbeit Wirtschaftsmathematik
Master's Thesis in Financial Mathematics, Halmstad University, Sweden
Supervision
Description
In this thesis we want to investigate how
to price numerically
cliquet options.
Keywords
Cliquet options, partial integro differential equation
References:
- L. Andersen and J. Andreasen,
Jump-diffusion processes: Volatility smile fitting and numerical methods for option pricing,
Review of Derivatives Research 4 (2000), 231-262.
- C. Borell and T. Nordqvist,
A remark on the pricing of certain cliquet options, Preprint, Göteborg University, 2001.
- M. Kjaer,
On the Pricing of Cliquet Options with Global Floor and Cap,
Thesis of the ECMI post-graduate program,
Chalmers University of Technology and Göteborg University, 2004.
- Z. Matosek,
Hedging cliquet options,
Working Paper, Free University Amsterdam, 2008.
- M. Shparber and S. Resheff,
Valuation of Cliquet Options, Thesis,
The Leon Recanati Graduate School of Business Administration,
Tel Aviv University, August 2004.
- P. Wilmott,
Cliquet Options and Volatility Models,
Wilmott Magazine, December 2002, 78-83.
- H.A. Windcliff, P.A. Forsyth and K.R. Vetzal,
Numerical Methods and Volatility Models for Valuing Cliquet Options, 2006.
