A lattice algorithm for pricing moving average barrier options
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Publication:975929
DOI10.1016/j.jedc.2009.10.008zbMath1230.91176OpenAlexW2120262280MaRDI QIDQ975929
Peifan Li, Jin E. Zhang, Min Dai
Publication date: 11 June 2010
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10722/85602
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20)
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