It is clear that cliquet options depend heavily on the forward volatility smile as the strike is unknown at the time of pricing the option and thus the volatility to be used is a forward volatility when the strike will be known.

  • $\begingroup$ What is a window barrier option? $\endgroup$ Sep 13 at 16:44
  • 1
    $\begingroup$ I added an explanation under EDIT $\endgroup$
    – user56787
    Sep 13 at 16:57

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