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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
Formats available:
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(English)
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