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Hello,For reference, the paper can be found at : www.itwm.fraunhofer.de/zentral/download ... .pdfThough this paper is quite interesting, I don't really see the point in doing a double integration on both the volatility process (Chi-Squared) and the stock process. The argument is that we don't know it at the reset time, but we know the distribution. And I heard many people refering to this paper to price such an option.Isn't it much simpler to price it using the forward characteristic function, that we do know in closed-form ? This means pricing it exactly in the same way as a simple European Call option, but with a slightly different characteristic function ?Thanks,

You're right. 1D integral of cliquet was done in Sept 03 issue of Wilmott, so this paper doesn't make much sense.

Well yes, but the paper by Wilmott just dealt with constant or uncertain volatility, not stochastic vol.

Sorry, what I meant was article "Forward-start options in stochastic volatility models" in Sept. 03 Wilmott mag.

Yes, Prospero was among the first to show how it should be done properly, though in a PDE context if I remember (correct me if I'm wrong).Others have been Hong and recently Mercurio and Moreni. The whole point of a double integral is beyond me.

I saw the one by Hong, and implicitely, that's the one I was referring to in my first post. I'll have a look at Mercurio and Moreni. Thanks for it.Thanks

Could you please let me know details regarding Prospero's paper: Journal

It's in Wilmott magazine or in the 1st Best of Wilmott book. Are there any academics which have availability to Wilmott magazine I wonder? I can only judge the Dutch situation, where I definitely know we don't have access to it.

Never said my employer couldn't afford a subscription, but I was talking about academics Outrun Personally I think the whole concept of journals is getting outdated. Taking 2 years to get an article published is just not in anyone's interest, particularly when the story is already out there on the internet.