COS method for option pricing under a regime-switching model with time-changed Lévy processes

DOI10.1080/14697688.2017.1412494zbMath1400.91614OpenAlexW2790045928MaRDI QIDQ4554448

Nawdha Thakoor, Geraldine Tour, Désiré Yannick Tangman, Abdul Q. M. Khaliq

Publication date: 14 November 2018

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2017.1412494

zbMATH Keywords

option pricingregime-switchingtime-changed Lévy processesFourier cosine expansionmarket model calibration

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Derivative securities (option pricing, hedging, etc.) (91G20)

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