COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448)
From MaRDI portal
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
