A new exact solution for pricing European options in a two-state regime-switching economy (Q356242)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A new exact solution for pricing European options in a two-state regime-switching economy |
scientific article |
Statements
A new exact solution for pricing European options in a two-state regime-switching economy (English)
0 references
25 July 2013
0 references
regime switching
0 references
European options
0 references
Fourier transform
0 references
Fourier inversion
0 references
Black-Scholes model
0 references
