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Call on Cliquet


An exotic cliquet that is subject to a call (call option) with a global strike, where the call has its payoff defined as follows:

Call on Cliquet- Payoff

Where: + implies application of discount to the values, Ri is return for cliquet interval i, and K is the global strike.

The exotic versions of a cliquet are based on modelling of joint distributions of returns attained over the lifespan of an option, and subject to the cliquet mechanism. In other words, the returns are not distributed on a separate basis (as opposed to vanilla cliquets).



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