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CVA for Cliquet options under Heston model

2019 ◽  
Vol 48 ◽  
pp. 272-282 ◽  
Author(s):  
Yaqin Feng ◽  
Min Wang ◽  
Yuanqing Zhang
Keyword(s):  
Heston Model ◽  
Cliquet Options

Numerical experiments on hedging cliquet options

2014 ◽  
Vol 17 (1) ◽  
pp. 85-103
Author(s):  
Fiodar Kilin ◽  
Morten Nalholm ◽  
Uwe Wystup
Keyword(s):  
Numerical Experiments ◽  
Cliquet Options

Pricing and Hedging of Cliquet Options and Locally Capped Contracts

2013 ◽  
Vol 4 (1) ◽  
pp. 353-371 ◽  
Author(s):  
Carole Bernard ◽  
Wenbo V. Li
Keyword(s):  
Cliquet Options

Pricing cliquet options by tree methods

2009 ◽  
Vol 8 (1-2) ◽  
pp. 125-135 ◽  
Author(s):  
Marcellino Gaudenzi ◽  
Antonino Zanette
Keyword(s):  
Tree Methods ◽  
Cliquet Options

scholarly journals Numerical Methods and Volatility Models for Valuing Cliquet Options

2006 ◽  
Vol 13 (4) ◽  
pp. 353-386 ◽  
Author(s):  
H. A. Windcliff ◽  
P. A. Forsyth ◽  
K. R. Vetzal
Keyword(s):  
Numerical Methods ◽  
Volatility Models ◽  
Cliquet Options

Pricing Cliquet Options in Jump-Diffusion Models

2005 ◽  
Vol 21 (4) ◽  
pp. 875-884 ◽  
Author(s):  
Yan Haifeng ◽  
Yang Jianqi ◽  
Liu Limin
Keyword(s):  
Jump Diffusion ◽  
Diffusion Models ◽  
Cliquet Options
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