Numerical methods and volatility models for valuing cliquet options

Applied Mathematical Finance

Volumn 13, Issue 4, 2006, Pages 353-386

  Windcliff, H A ^a   Forsyth, P A ^b   Vetzal, K R ^b  

^a Morgan Stanley   (United States)

^b UNIVERSITY OF WATERLOO   (Canada)

Author keywords

Boundary conditions; Cliquet options; Interpolation; Jump diffusion; Volatility models

Indexed keywords

EID: 33751571256     PISSN: 1350486X     EISSN: 14664313     Source Type: Journal    
DOI: 10.1080/13504860600839964     Document Type: Article

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