Numerical Pricing of Cliquet Options
Master's Thesis in Financial Mathematics
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, partial integro differential equation
- 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. Bernard, and W.V. Li,
Pricing and Hedging of Cliquet Options and Locally Capped Contracts,
SIAM Journal on Financial Mathematics 4 (2013), 353-371.
- C. Borell and T. Nordqvist,
A remark on the pricing of certain cliquet options, Preprint, Göteborg University, 2001.
- P. Den Iseger and E. Oldenkamp,
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,
International Journal of Business 17 (2012), 163-180.
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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.
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Hedging cliquet options,
Working Paper, Free University Amsterdam, 2008.
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Optimal Dynamic Hedging of Cliquets,
Working Paper 2008.
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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, Applied Mathematical Finance 13 (2006), 353-386