A forward started jump-diffusion model and pricing of cliquet style exotics
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Bibliographic InfoArticle provided by Springer in its journal Review of Derivatives Research.
Volume (Year): 13 (2010)
Issue (Month): 2 (July)
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Web page: http://www.springerlink.com/link.asp?id=102989
Exotic options; Forward volatility smiles; Variance swaps; Cliquets; G12; G13; C63;
Find related papers by JEL classification:
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- 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.
- Ernst Eberlein & Dilip Madan, 2009. "Sato processes and the valuation of structured products," Quantitative Finance, Taylor & Francis Journals, vol. 9(1), pages 27-42.
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