A lattice algorithm for pricing moving average barrier options

A lattice algorithm for pricing moving average barrier options

10.1016/j.jedc.2009.10.008

Saved in:

書目詳細資料
Main Authors:	Dai, M., Li, P., Zhang, J.E.
其他作者:	MATHEMATICS
格式:	Article
出版:	2014
主題:	Barrier option Extrapolation Forward shooting grid method Lattice algorithm Moving average
在線閱讀:	http://scholarbank.nus.edu.sg/handle/10635/102667
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	National University of Singapore

相似書籍

On Quantiles of Brownian Motion and Quantile Options
由: ZHU YONGTING
出版: (2011)

Chasing trends: Recursive moving average trading rules and internet stocks
由: Fong, W.M., et al.
出版: (2013)

Simulation of coupon bond European and barrier options in quantum finance
由: Baaquie, B.E., et al.
出版: (2014)

An exponentially weighted moving average control chart for zero-truncated Poisson processes: A design and analytic framework with fast initial response feature
由: Leong, Robert Neil F., et al.
出版: (2017)

Simulation of three-dimensional flows over moving objects by an improved immersed boundary-lattice Boltzmann method
由: Wu, J., et al.
出版: (2014)

A momentum exchange-based immersed boundary-lattice Boltzmann method for simulating incompressible viscous flows
由: Niu, X.D., et al.
出版: (2014)

Simulation of incompressible viscous flows around moving objects by a variant of immersed boundary-lattice Boltzmann method
由: Wu, J., et al.
出版: (2014)

Some zero inflated Poisson-based combined exponentially weighted moving average control charts for disease surveillance
由: Leong, Robert Neil F., et al.
出版: (2015)

Lattice boltzmann and finite volume simulation of inviscid compressible flows with curved boundary
由: Qu, K., et al.
出版: (2014)

A hybrid immersed-boundary and multi-block lattice Boltzmann method for simulating fluid and moving-boundaries interactions
由: Sui, Y., et al.
出版: (2014)

EXTENSIONS TO THE EXPONENTIALLY WEIGHTED MOVING AVERAGE PROCEDURES
由: CHAO AN-KUO
出版: (2017)

A projection method for solving incompressible viscous flows on domains with moving boundaries
由: Pan, H., et al.
出版: (2014)

Price of coupon bond options in a quantum field theory of forward interest rates
由: Baaquie, B.E.
出版: (2014)

On-line portfolio selection with moving average reversion
由: LI, Bin, et al.
出版: (2012)

A moving average Cholesky factor model in covariance modelling for longitudinal data
由: Zhang, W., et al.
出版: (2014)

An evaluation of a 3D free-energy-based lattice Boltzmann model for multiphase flows with large density ratio
由: Huang, H., et al.
出版: (2014)

Moving average reversion strategy for on-line portfolio selection
由: LI, Bin, et al.
出版: (2015)

Development of a Novel Immersed Boundary-Lattice Boltzmann Method and Its Applications
由: WU JIE
出版: (2010)

Structural damage detection using autoregressive-model-incorporating multivariate exponentially weighted moving average control chart
由: Wang, Z., et al.
出版: (2014)

Pricing under uncertainty: Forward and option pricing in sports markets
由: SAINAM, Preethika, et al.
出版: (2023)

Monte Carlo Simulation in Option Pricing
由: LONG YUN
出版: (2010)

Representation of exchange option prices under stochastic volatility jump-diffusion dynamics
由: Cheang, Gerald H L, et al.
出版: (2019)

Vector extrapolation methods for accelerating iterative reconstruction methods in limited-data photoacoustic tomography
由: Awasthi, Navchetan, et al.
出版: (2018)

Pricing of Bond Options
由: Repplinger, Detlef
出版: (2017)

APPLICATION OF OPTION PRICING MODEL FOR REAL OPTION IN SINGAPORE
由: HOONG YUN SHUAN
出版: (2021)

Multidimensional on-line bin-packing: An algorithm and its average-case analysis
由: Chang, E.-C., et al.
出版: (2014)

Option pricing and hedging with market friction using reinforcement learning
由: Jiang, Zixing
出版: (2024)

A comparative study of neural network and Box-Jenkins ARIMA modeling in time series prediction
由: Ho, S.L., et al.
出版: (2014)

Property Rights Restrictions and House Prices
由: Lee, Kwan Ok, et al.
出版: (2020)

Consistent second-order boundary implementations for convection-diffusion lattice Boltzmann method
由: Zhang, Liangqi, et al.
出版: (2018)

Designs of moving average control chart
由: Wong, H.B., et al.
出版: (2014)

Pricing under uncertainty: Forward and option pricing in sports markets
由: SAINAM, Preethika, et al.
出版: (2022)

Development of Lattice Boltzmann Method for Compressible Flows
由: QU KUN
出版: (2010)

MONTE CARLO AND VARIANCE REDUCTION METHODS FOR OPTION PRICING
由: CHEN QINRAN
出版: (2017)

Moving boundary simulation and mechanistic studies of the electrochemical corrosion protection by a damaged zinc coating
由: SAEEDIKHANIGERAEI, MOHSEN, et al.
出版: (2020)

Optimal multiple stopping models of reload options and shout options
由: Dai, M., et al.
出版: (2014)

Convergence speed of garch option price to diffusion option price
由: Duan, J.-C., et al.
出版: (2013)

Pricing options with stochastic volatility model.
由: Lee, Sor Hong., et al.
出版: (2008)

Options pricing on Eurodollar and Euroyen futures.
由: Chong, Min Keong., et al.
出版: (2009)

Fast incremental algorithm for building concept lattice
由: Xie, Z.-P., et al.
出版: (2013)