A forward started jump-diffusion model and pricing of cliquet style exotics
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References listed on IDEAS
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More about this item
KeywordsExotic options; Forward volatility smiles; Variance swaps; Cliquets; G12; G13; C63;
- 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
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