A new exact solution for pricing European options in a two-state regime-switching economy (Q356242)
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scientific article; zbMATH DE number 6191589
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| English | A new exact solution for pricing European options in a two-state regime-switching economy |
scientific article; zbMATH DE number 6191589 |
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A new exact solution for pricing European options in a two-state regime-switching economy (English)
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25 July 2013
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regime switching
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European options
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Fourier transform
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Fourier inversion
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Black-Scholes model
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0.8157113194465637
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0.7962338924407959
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0.7902594208717346
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0.7876027226448059
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