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arxiv: 1803.09444 · v1 · pith:AJZB5E2Ynew · submitted 2018-03-26 · 💱 q-fin.PR · math.PR

Cliquet option pricing with Meixner processes

classification 💱 q-fin.PR math.PR
keywords meixnercliquetdistributionmeixner--loptionprocessmodelprice
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We investigate the pricing of cliquet options in a geometric Meixner model. The considered option is of monthly sum cap style while the underlying stock price model is driven by a pure-jump Meixner--L\'{e}vy process yielding Meixner distributed log-returns. In this setting, we infer semi-analytic expressions for the cliquet option price by using the probability distribution function of the driving Meixner--L\'{e}vy process and by an application of Fourier transform techniques. In an introductory section, we compile various facts on the Meixner distribution and the related class of Meixner--L\'{e}vy processes. We also propose a customized measure change preserving the Meixner distribution of any Meixner process.

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