COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1080/14697688.2017.1412494 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2790045928 / rank | |||
Normal rank | |||
Revision as of 01:05, 20 March 2024
scientific article; zbMATH DE number 6979484
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | COS method for option pricing under a regime-switching model with time-changed Lévy processes |
scientific article; zbMATH DE number 6979484 |
Statements
COS method for option pricing under a regime-switching model with time-changed Lévy processes (English)
0 references
14 November 2018
0 references
option pricing
0 references
Fourier cosine expansion
0 references
regime-switching
0 references
time-changed Lévy processes
0 references
market model calibration
0 references
