Cliquet option with local & global caps and floors

[Loïc Quéran-2]

Hi,

Is there any means using quantlib to determine the net present value of
cliquet option with local cap/floor and global cap/floor ?

Any help would be appreciated.

Thanks in advance.

Loïc

[Ferdinando M. Ametrano-3]

At 02:46 PM 10/19/2004, Loïc Quéran wrote:
>Is there any means using quantlib to determine the net present value of
>cliquet option with local cap/floor and global cap/floor ?

there is some legacy code available, but I wouldn't trust it. It accept
only time-dependant volatility, which is plain wrong for cliquet. It
shouldn't be hard to generalize that code for stochastic volatility, but it
has to be done.

If you just need one-off valuations you might look for "Cliquet Options &
Volatility Models", by Paul Wilmott: it include VB code for valuing cliquet
option using an uncertain volatility model.

ciao -- Nando