A lattice algorithm for pricing moving average barrier options (Q975929)
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scientific article; zbMATH DE number 5720242
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A lattice algorithm for pricing moving average barrier options |
scientific article; zbMATH DE number 5720242 |
Statements
A lattice algorithm for pricing moving average barrier options (English)
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11 June 2010
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barrier option
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moving average
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lattice algorithm
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forward shooting grid method
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extrapolation
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0.9041542
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0.90133166
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0.89997977
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0.8940771
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0.89084727
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0.8873058
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0.88195974
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