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Numerical Methods and Volatility Models for Valuing Cliquet Options 

Authors: H. A. Windcliff a;  P. A. Forsyth b; K. R. Vetzal c
Affiliations:   a Equity Trading Lab, Morgan Stanley, New York, USA
b School of Computer Science, University of Waterloo, Canada
c Centre for Advanced Studies in Finance, University of Waterloo, Canada
DOI: 10.1080/13504860600839964
Publication Frequency: 6 issues per year
Published in: journal Applied Mathematical Finance, Volume 13, Issue 4 December 2006 , pages 353 - 386
Formats available: HTML (English) : PDF (English)

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