Click here for immediate access to the latest key research articles

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: Applied Mathematical Finance, Volume 13, Issue 4 December 2006 , pages 353 - 386

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

Formats available: HTML (English) : PDF (English)

Article Requests: Order Reprints : Request Permissions

• Sign In
• Online Sample

Recommending 'Numerical Methods and Volatility Models for Valuing Cliquet Options'

This service is temporarily unavailable.

Please copy the URL in your address bar and email it direct to your colleague or librarian to recommend this resource.