A lattice algorithm for pricing moving average barrier options

10.1016/j.jedc.2009.10.008

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Bibliographic Details
Main Authors:	Dai, M., Li, P., Zhang, J.E.
Other Authors:	MATHEMATICS
Format:	Article
Published:	2014
Subjects:	Barrier option Extrapolation Forward shooting grid method Lattice algorithm Moving average
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/102667
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Institution:	National University of Singapore

id	sg-nus-scholar.10635-102667
record_format	dspace
spelling	sg-nus-scholar.10635-1026672023-10-25T23:18:03Z A lattice algorithm for pricing moving average barrier options Dai, M. Li, P. Zhang, J.E. MATHEMATICS Barrier option Extrapolation Forward shooting grid method Lattice algorithm Moving average 10.1016/j.jedc.2009.10.008 Journal of Economic Dynamics and Control 34 3 542-554 JEDCD 2014-10-28T02:28:19Z 2014-10-28T02:28:19Z 2010-03 Article Dai, M., Li, P., Zhang, J.E. (2010-03). A lattice algorithm for pricing moving average barrier options. Journal of Economic Dynamics and Control 34 (3) : 542-554. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jedc.2009.10.008 01651889 http://scholarbank.nus.edu.sg/handle/10635/102667 000276124000016 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Barrier option Extrapolation Forward shooting grid method Lattice algorithm Moving average
spellingShingle	Barrier option Extrapolation Forward shooting grid method Lattice algorithm Moving average Dai, M. Li, P. Zhang, J.E. A lattice algorithm for pricing moving average barrier options
description	10.1016/j.jedc.2009.10.008
author2	MATHEMATICS
author_facet	MATHEMATICS Dai, M. Li, P. Zhang, J.E.
format	Article
author	Dai, M. Li, P. Zhang, J.E.
author_sort	Dai, M.
title	A lattice algorithm for pricing moving average barrier options
title_short	A lattice algorithm for pricing moving average barrier options
title_full	A lattice algorithm for pricing moving average barrier options
title_fullStr	A lattice algorithm for pricing moving average barrier options
title_full_unstemmed	A lattice algorithm for pricing moving average barrier options
title_sort	lattice algorithm for pricing moving average barrier options
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/102667
_version_	1781787620885397504

A lattice algorithm for pricing moving average barrier options

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