A lattice algorithm for pricing moving average barrier options
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Citations
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Cited by:
- Jun Cheng & Jin Zhang, 2012. "Analytical pricing of American options," Review of Derivatives Research, Springer, vol. 15(2), pages 157-192, July.
- Wei Xu & Zhiwu Hong & Chenxiang Qin, 2013. "A new sampling strategy willow tree method with application to path-dependent option pricing," Quantitative Finance, Taylor & Francis Journals, vol. 13(6), pages 861-872, May.
- Ballestra, Luca Vincenzo & Pacelli, Graziella, 2013. "Pricing European and American options with two stochastic factors: A highly efficient radial basis function approach," Journal of Economic Dynamics and Control, Elsevier, vol. 37(6), pages 1142-1167.
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Keywords
Barrier option Moving average Lattice algorithm Forward shooting grid method Extrapolation;Statistics
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