Spread and basket option pricing in a Markov‐modulated Lévy framework with synchronous jumps (Q4627095): Difference between revisions

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+Option pricing and Esscher transform under regime switching
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+Option pricing using variance gamma Markov chains
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+Option pricing for pure jump processes with Markov switching compensators
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+FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
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+COS method for option pricing under a regime-switching model with time-changed Lévy processes
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+An analytic valuation method for multivariate contingent claims with regime-switching volatilities
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+Valuation of correlation options under a stochastic interest rate model with regime switching
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+Multivariate European option pricing in a Markov-modulated Lévy framework
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+Pricing and Hedging Spread Options
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+Closed form spread option valuation
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+General closed-form basket option pricing bounds
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+Riding on the smiles
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