WebbCliquet options have been introduced in the financial market by the end of the last century (see e.g. [4, 5, 8, 9]). As highly path dependent exotic options they at least gained some … WebbThe cliquet is a series of at-the-money options, with periodic settlement, resetting the strike value at the then current price level, at which time, the option locks in the …

A Few Insights Into Cliquet Options

Webb1 apr. 2011 · The tree method which is proposed simplifies the standard binomial Cox–Ross–Rubinstein approach and provides very efficient and reliable evaluations in a … WebbIn this paper, we develop a simple and yet practically efficient algorithm for simulating high-dimensional exotic options. Our method is based on an extension of Imai and Tan's linear transformation method, which is originally proposed in the context of simulating a Gaussian process. By generalizing this method to other stochastic processes and … church picnic games for older adults

Pricing cliquet options by tree methods Request PDF

Webb1 apr. 2011 · Abstract This paper focuses on the problem of pricing the cliquet options which provide a guaranteed minimum annual return. The tree method which we propose … WebbA cliquet option is equivalent to a series of forward-starting at-the-money options. We consider standard forward start options on domestic equity stock prices. These … WebbCliquet options are widely traded in many retail-structured products. They are finan-cialderivativeswhichprovideaguaranteedminimumreturninexchangeforacapping of the maximal return over the life of the contract. A cliquet option is equivalent to a series of forward-starting at-the-money options, which may be globally and locally floored and ... church picnic in the park clip art