Journal of Computational Finance

Risk.net

Pricing moving average barrier options

J. P. Heritage

ABSTRACT

A moving average up-and-out call option differs from an up-and-out call option in that knock-out occurs when a moving average price process reaches the barrier. This paper considers two such options that differ in the precise conditions for knock-out. In the Black–Scholes model, approximate prices are obtained for these options in terms of the prices of up-and-out call options. The price obtained for one of the options is compared with prices obtained by simulation.

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: