A lattice algorithm for pricing moving average barrier options
type: Item
instance of: scholarly article
title: A lattice algorithm for pricing moving average barrier options
zbMATH Open document ID: 1230.91176
author: Min Dai
author: Peifan Li
author: Jin E. Zhang
publication date: 2010-06-11T00:00:00Z
full work available at URL: http://hdl.handle.net/10722/85602
Mathematics Subject Classification ID: 91G20
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 5720242
zbMATH Keywords: barrier option
zbMATH Keywords: moving average
zbMATH Keywords: lattice algorithm
zbMATH Keywords: forward shooting grid method
zbMATH Keywords: extrapolation
MaRDI profile type: Publication
OpenAlex ID: W2120262280
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DOI: 10.1016/J.JEDC.2009.10.008
published in: Journal of Economic Dynamics and Control
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description: scientific article; zbMATH DE number 5720242