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Cliquet option 1 Lookback option 1 Numerical dimension 1 Option hedging 1 Option valuation 1
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Guillaume, Tristan 1
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A few insights into cliquet options
Guillaume, Tristan - HAL - 2012
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...
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