A lattice algorithm for pricing moving average barrier options☆ Export

@article{citeulike:6003778, abstract = {This paper presents a lattice algorithm for pricing both European- and American-style moving average barrier options (MABOs). We develop a finite-dimensional partial differential equation (PDE) model for discretely monitored MABOs and solve it numerically by using a forward shooting grid method. The modeling PDE for continuously monitored MABOs has infinite dimensions and cannot be solved directly by any existing numerical method. We find their approximate values indirectly by using an extrapolation technique with the prices of discretely monitored MABOs. Numerical experiments show that our algorithm is very efficient.}, author = {Dai, Min and Li, Peifan and Zhang, Jin E.}, citeulike-article-id = {6003778}, citeulike-linkout-0 = {http://dx.doi.org/10.1016/j.jedc.2009.10.008}, citeulike-linkout-1 = {http://linkinghub.elsevier.com/retrieve/pii/S0165188909001961}, day = {21}, doi = {10.1016/j.jedc.2009.10.008}, issn = {01651889}, journal = {Journal of Economic Dynamics and Control}, month = {October}, posted-at = {2009-10-25 02:24:16}, title = {A lattice algorithm for pricing moving average barrier options☆}, url = {http://dx.doi.org/10.1016/j.jedc.2009.10.008}, year = {2009} }

TY - JOUR ID - citeulike:6003778 L3 - citeulike-article-id:6003778 N2 - This paper presents a lattice algorithm for pricing both European- and American-style moving average barrier options (MABOs). We develop a finite-dimensional partial differential equation (PDE) model for discretely monitored MABOs and solve it numerically by using a forward shooting grid method. The modeling PDE for continuously monitored MABOs has infinite dimensions and cannot be solved directly by any existing numerical method. We find their approximate values indirectly by using an extrapolation technique with the prices of discretely monitored MABOs. Numerical experiments show that our algorithm is very efficient. JF - Journal of Economic Dynamics and Control SN - 01651889 TI - A lattice algorithm for pricing moving average barrier options☆ AU - Dai, Min AU - Li, Peifan AU - Zhang, Jin PY - 2009/10/21/ UR - http://dx.doi.org/10.1016/j.jedc.2009.10.008 ER -