Cliquet options and volatility models
Cliquet options and volatility models
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Cliquet 期权和波动率模型
DOI：
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发表时间：
2002
期刊：
影响因子：
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通讯作者：
P. Wilmott
中科院分区：
文献类型：
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作者：
P. Wilmott
Wilmott杂志从卖方的角度来看，旨在通过Delta对冲将市场风险降到最低，他们的主要风险敞口是波动性风险。然而，该合约对假设的波动率模型的依赖非常微妙。在这篇简短的笔记中，我将展示合约价值如何取决于对波动率的处理。特别是，我将展示恒定波动率和波动率范围的结果。
Wilmott magazine From the point of view of the sell side, aiming to minimize market risk by delta hedging, their main exposure is to volatility risk. However, the contract is very subtle in its dependence on the assumed model for volatility. In this brief note, I will show how the contract value depends on the treatment of volatility. In particular, I shall show results for constant volatility and volatility ranges.