Windcliff, H. A.; Forsyth, P. A.; Vetzal, K. R. - In: Applied Mathematical Finance 13 (2006) 4, pp. 353-386
Several numerical issues for valuing cliquet options using PDE methods are investigated. The use of a running sum of returns formulation is compared to an average return formulation. Methods for grid construction, interpolation of jump conditions, and application of boundary conditions are...