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Title: Cliquet  
Author: World Heritage Encyclopedia
Language: English
Subject: Options (finance), Amortising swap, Basket option, Commodore option, Inflation swap
Publisher: World Heritage Encyclopedia


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.


  • A three-year cliquet with reset dates each year would have three payoffs. The first would payoff 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.


  1. ^ Cliquet/Ratchet Options
  2. ^

External links

  • Cliquet at
  • Valuation of Cliquet Options by M.Shparber & Sh.Resheff at
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