Numerical Pricing of Cliquet Options
Masterarbeit Wirtschaftsmathematik
Master's Thesis in Financial Mathematics
Supervision
Description
The cliquet or ratchet option is periodic financial derivative resetting the strike price
to the value of actual price of the underlying asset.
At each reset time the holder
receives payment of the difference between old and new strike price or the payment
can be also accumulated until the final maturity.
In this thesis we want to investigate how
to price numerically
cliquet options.
Keywords
Cliquet options, partial integro differential equation
References:
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Jump-diffusion processes: Volatility smile fitting and numerical methods for option pricing,
Review of Derivatives Research 4 (2000), 231-262.
- C. Bernard, and W.V. Li,
Pricing and Hedging of Cliquet Options and Locally Capped Contracts,
SIAM Journal on Financial Mathematics 4 (2013), 353-371.
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A remark on the pricing of certain cliquet options, Preprint, Göteborg University, 2001.
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Cliquet Options: Pricing and Greeks in Deterministic and Stochastic Volatility (July 5, 2005). Available at SSRN: http://ssrn.com/abstract=1013510 or http://dx.doi.org/10.2139/ssrn.1013510
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A Few Insights into Cliquet Options,
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