• Pricing Cliquet Option

    Author(s):
    Tim Xiao (see profile)
    Date:
    2021
    Group(s):
    Business Management
    Subject(s):
    Economics
    Item Type:
    Presentation
    Tag(s):
    cliquet option pricing, ratchet option pricing
    Permanent URL:
    http://dx.doi.org/10.17613/v5k5-zb93
    Abstract:
    A cliquet option, also called ratchet option, consists of a series of forward start options, each struck at the money on the date it becomes active. Typically, each option begins on the date corresponding to the expiry of the previous option. The cliquet is a series of at-the-money options, with periodic settlement, resetting the strike value at the then current price level, at which time, the option locks in the difference between the old and new strike and pays that out as the profit. The profit can be accumulated until final maturity, or paid out at each reset date.
    Notes:
    https://gitlab.com/cmrm11/eqcliquet/-/raw/master/EqCliquet-12.pdf
    Metadata:
    Status:
    Published
    Last Updated:
    2 years ago
    License:
    All-Rights-Granted
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