Cliquet (Ratchet) Option Pricing
Cliquet (Ratchet) Option Pricing: a task in skilltrainbench-public: skilltrainbench training tasks (Harbor dataset). Given daily OHLCV data for SPY in /app/spy daily.csv , estimate the annualized volatility from historical data, then price cliquet (ratchet) options and compare them to standard…
The task
Given daily OHLCV data for SPY in `/app/spy_daily.csv`, estimate the annualized volatility from historical data, then price cliquet (ratchet) options and compare them to standard European options.
Part of codeslord/skilltrainbench-public.