A few insights into cliquet options

This paper deals with a subset of lookback options known as cliquet options. The latter lock in the best underlying asset price over a number of prespecified dates during the option life. The specific uses of these contracts are analyzed, as well as two different hedging techniques. Closed form valuation formulae are provided under standard assumptions. They are easy to implement, very efficient and accurate compared to Monte Carlo simulation approximations.

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Year of publication:	2012
Authors:	Guillaume, Tristan
Institutions:	HAL
Subject:	Cliquet option \| Lookback option \| Option valuation \| Option hedging \| Numerical dimension

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Extent:	application/pdf
Series:	Post-Print.
Type of publication:	Book / Working Paper
Notes:	View the original document on HAL open archive server: http://hal.archives-ouvertes.fr/hal-00924287 Published, International Journal of Business, 2012, 17, 2, 163-180
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010898897