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Article: A lattice algorithm for pricing moving average barrier options

TitleA lattice algorithm for pricing moving average barrier options
Authors
KeywordsBarrier option
Extrapolation
Forward shooting grid method
Lattice algorithm
Moving average
Issue Date2010
PublisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jedc
Citation
Journal Of Economic Dynamics And Control, 2010, v. 34 n. 3, p. 542-554 How to Cite?
AbstractThis 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. © 2009 Elsevier B.V. All rights reserved.
Persistent Identifierhttp://hdl.handle.net/10722/85602
ISSN
2015 Impact Factor: 0.879
2015 SCImago Journal Rankings: 0.937
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorDai, Men_HK
dc.contributor.authorLi, Pen_HK
dc.contributor.authorZhang, JEen_HK
dc.date.accessioned2010-09-06T09:07:03Z-
dc.date.available2010-09-06T09:07:03Z-
dc.date.issued2010en_HK
dc.identifier.citationJournal Of Economic Dynamics And Control, 2010, v. 34 n. 3, p. 542-554en_HK
dc.identifier.issn0165-1889en_HK
dc.identifier.urihttp://hdl.handle.net/10722/85602-
dc.description.abstractThis 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. © 2009 Elsevier B.V. All rights reserved.en_HK
dc.languageengen_HK
dc.publisherElsevier BV. The Journal's web site is located at http://www.elsevier.com/locate/jedcen_HK
dc.relation.ispartofJournal of Economic Dynamics and Controlen_HK
dc.rightsCreative Commons: Attribution 3.0 Hong Kong License-
dc.rightsJournal of Economic Dynamics and Control. Copyright © Elsevier BV.en_HK
dc.subjectBarrier optionen_HK
dc.subjectExtrapolationen_HK
dc.subjectForward shooting grid methoden_HK
dc.subjectLattice algorithmen_HK
dc.subjectMoving averageen_HK
dc.titleA lattice algorithm for pricing moving average barrier optionsen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0165-1889&volume=34&issue=3&spage=542&epage=554&date=2010&atitle=A+lattice+algorithm+for+pricing+moving+average+barrier+optionsen_HK
dc.identifier.emailZhang, JE: jinzhang@hku.hken_HK
dc.identifier.authorityZhang, JE=rp01125en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1016/j.jedc.2009.10.008en_HK
dc.identifier.scopuseid_2-s2.0-77249140447en_HK
dc.identifier.hkuros169029en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-77249140447&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume34en_HK
dc.identifier.issue3en_HK
dc.identifier.spage542en_HK
dc.identifier.epage554en_HK
dc.identifier.isiWOS:000276124000016-
dc.publisher.placeNetherlandsen_HK
dc.identifier.scopusauthoridDai, M=36918061900en_HK
dc.identifier.scopusauthoridLi, P=8422147800en_HK
dc.identifier.scopusauthoridZhang, JE=7601346659en_HK
dc.identifier.citeulike6003778-

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