A lattice algorithm for pricing moving average barrier options

DOI10.1016/j.jedc.2009.10.008zbMath1230.91176OpenAlexW2120262280MaRDI QIDQ975929

Peifan Li, Jin E. Zhang, Min Dai

Publication date: 11 June 2010

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/85602

zbMATH Keywords

extrapolationmoving averagebarrier optionlattice algorithmforward shooting grid method

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)

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