Assume lognormal dynamics for the underlying dS t rS t dt S t dW t and constant interest rates r Compute the price of a cliquet with payoff max (S T2 S T1 1,0) at time T 2 T 1 ...

To compute the price of a cliquet option with the given payoff structure we first need to understand ...

Assume lognormal dynamics for the underlying dS t = rS t dt +S t dW t and

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Assume lognormal dynamics for the underlying dS_t = rS_tdt +σS_tdW_t and constant interest rates r. Compute the price of a cliquet with payoff max (S_T2/S_T1 − 1,0) at time T₂ > T₁.

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Market Practice In Financial Modelling

ISBN: 9789814366540

1st Edition

Authors: Tan Chia Chiang

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Question Posted: Dec 23, 2023 05:35 AM

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Assume lognormal dynamics for the underlying dS t = rS t dt +S t dW t and

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To compute the price of a cliquet option with the given payoff structure we first need to understand ...View the full answer

Market Practice In Financial Modelling

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