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A forward started jump-diffusion model and pricing of cliquet style exotics

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  • Gabriel Drimus

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    File URL: http://hdl.handle.net/10.1007/s11147-009-9045-2
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    Bibliographic Info

    Article provided by Springer in its journal Review of Derivatives Research.

    Volume (Year): 13 (2010)
    Issue (Month): 2 (July)
    Pages: 125-140

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    Handle: RePEc:kap:revdev:v:13:y:2010:i:2:p:125-140

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    Web page: http://www.springerlink.com/link.asp?id=102989

    Related research

    Keywords: Exotic options; Forward volatility smiles; Variance swaps; Cliquets; G12; G13; C63;

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    1. Merton, Robert C., 1975. "Option pricing when underlying stock returns are discontinuous," Working papers 787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
    2. Darrell Duffie & Jun Pan & Kenneth Singleton, 1999. "Transform Analysis and Asset Pricing for Affine Jump-Diffusions," NBER Working Papers 7105, National Bureau of Economic Research, Inc.
    3. Black, Fischer & Scholes, Myron S, 1973. "The Pricing of Options and Corporate Liabilities," Journal of Political Economy, University of Chicago Press, vol. 81(3), pages 637-54, May-June.
    4. David Backus & Silverio Foresi & Liuren Wu, 2002. "Accouting for Biases in Black-Scholes," Finance 0207008, EconWPA.
    5. Geman, Hélyette & Carr, Peter & Madan, Dilip B. & Yor, Marc, 2003. "Stochastic Volatility for Levy Processes," Economics Papers from University Paris Dauphine 123456789/1392, Paris Dauphine University.
    6. Kemna, A. G. Z. & Vorst, A. C. F., 1990. "A pricing method for options based on average asset values," Journal of Banking & Finance, Elsevier, vol. 14(1), pages 113-129, March.
    7. Peter Carr & Katrina Ellis & Vishal Gupta, 1998. "Static Hedging of Exotic Options," Journal of Finance, American Finance Association, vol. 53(3), pages 1165-1190, 06.
    8. Ernst Eberlein & Dilip Madan, 2009. "Sato processes and the valuation of structured products," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 27-42.
    9. Rolf Poulsen, 2006. "Barrier options and their static hedges: simple derivations and extensions," Quantitative Finance, Taylor & Francis Journals, vol. 6(4), pages 327-335.
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