@article {Kjaer47, author = {Mats Kjaer}, title = {Fast Pricing of Cliquet Options with Global Floor}, volume = {14}, number = {2}, pages = {47--60}, year = {2006}, doi = {10.3905/jod.2006.667550}, publisher = {Institutional Investor Journals Umbrella}, abstract = {Retail investors are especially fond of investments that capture the upside of a risky equity portfolio while providing protection on the downside, and financial institutions have responded with a wide variety of such products. One variant consists of a bond plus a cliquet option that sets both a minimum return in each period and also a floor on the total lifetime payoff. Pricing and hedging the derivative component is possible with standard Monte Carlo or PDE techniques, but it is a difficult problem and convergence is slow and erratic. The Fourier transform approach is promising, but it also suffers from convergence problems. This article develops a way to overcome these convergence problems, which leads to a major improvement in performance.TOPICS: Options, statistical methods}, issn = {1074-1240}, URL = {https://jod.pm-research.com/content/14/2/47}, eprint = {https://jod.pm-research.com/content/14/2/47.full.pdf}, journal = {The Journal of Derivatives} }