“Cliquet option”的意思、由来-开放百科全书

词条

Cliquet option

释义

Example
References
External links

A cliquet option or ratchet option is an exotic option consisting of a series of consecutive forward start options.^[1] The first is active immediately. The second becomes active when the first expires, etc. Each option is struck at-the-money when it becomes active.^[2]

A cliquet is, therefore, a series of at-the-money options but where the total premium is determined in advance. A cliquet can be thought of as a series of "pre-purchased" at-the-money options. The payout on each option can either be paid at the final maturity, or at the end of each reset period.^[3]

Example

A three-year cliquet with reset dates each year would have three payoffs. The first would pay off at the end of the first year and has the same payoff as a normal ATM option.
The second year's payoff has the same payoff as a two-year option, but with the strike price equal to the stock price at the end of the first year.
The third year's payoff has the same payoff as a three-year option, but with the strike price equal to the stock price at the end of the second year.

References

1. ^{{cite web|url=http://www.global-derivatives.com/index.php/pricing-models-topmenu-37/24?task=view|title=global-derivatives.com|author=|date=|website=www.Global-Derivatives.com|access-date=24 September 2017}}
2. ^{{cite web|url=http://www.riskglossary.com/link/forward_start_option.htm|title=Riskglossary.com|author=|date=|website=RiskGlossary.com|access-date=24 September 2017}}
3. ^http://docs.fincad.com/support/developerFunc/mathref/cliquet.htm FiNCAD - Cliquet options]

External links

Cliquet at Investopedia.com

1 : Options (finance)

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