Carole Bernard, Wenbo V. Li. Pricing and Hedging of Cliquet Options and Locally Capped Contracts. SIAM J. Financial Math., 4(1):353-371, 2013. [doi]
@article{BernardL13,
title = {Pricing and Hedging of Cliquet Options and Locally Capped Contracts},
author = {Carole Bernard and Wenbo V. Li},
year = {2013},
doi = {10.1137/100818157},
url = {http://dx.doi.org/10.1137/100818157},
researchr = {https://researchr.org/publication/BernardL13},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {4},
number = {1},
pages = {353-371},
}