COS method for option pricing under a regime-switching model with time-changed Lévy processes (Q4554448)
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scientific article; zbMATH DE number 6979484
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| English | COS method for option pricing under a regime-switching model with time-changed Lévy processes |
scientific article; zbMATH DE number 6979484 |
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COS method for option pricing under a regime-switching model with time-changed Lévy processes (English)
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14 November 2018
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option pricing
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Fourier cosine expansion
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regime-switching
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time-changed Lévy processes
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market model calibration
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0.8749911785125732
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0.7841860055923462
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0.7805185317993164
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0.7710323929786682
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0.7677489519119263
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