Pricing Cliquet options in jump-diffusion models

被引：5

作者：

Yan, HF ^{[1
]}

Yang, JQ

Liu, LM

机构：

[1] Nanjing Univ Finance & Econ, Sch Finance & Banking, Nanjing 210046, Jiangsu, Peoples R China

[2] Henan Normal Univ, Dept Math, Henan, Peoples R China

来源：

STOCHASTIC MODELS | 2005年 / 21卷 / 04期

关键词：

Cliquet options; equivalent martingale measure; jump-diffusion models; option pricing;

D O I：

10.1080/15326340500294587

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The paper presents the problem of pricing Cliquet options when stock prices satisfy a general jump-diffusion model with coefficients depending explicitly on time. By measure change, a computable approximation for the value of a Cliquet option is derived. It is achieved by approximating the original coefficients with functions that are piecewise constant in time.

引用

页码：875 / 884

页数：10

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