Cliquet option pricing with Meixner processes
Abstract
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.
Cite
@article{arxiv.1803.09444,
title = {Cliquet option pricing with Meixner processes},
author = {Markus Hess},
journal= {arXiv preprint arXiv:1803.09444},
year = {2018}
}
Comments
Published at https://doi.org/10.15559/18-VMSTA96 in the Modern Stochastics: Theory and Applications (https://www.i-journals.org/vtxpp/VMSTA) by VTeX (http://www.vtex.lt/)