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

Subjects: Applied Mathematics; Business Mathematics; Finance; Financial Mathematics; Physics;

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