An FFT approach for option pricing under a regime-switching stochastic interest rate model (Q5349081)
From MaRDI portal
scientific article; zbMATH DE number 6763593
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An FFT approach for option pricing under a regime-switching stochastic interest rate model |
scientific article; zbMATH DE number 6763593 |
Statements
An FFT approach for option pricing under a regime-switching stochastic interest rate model (English)
0 references
23 August 2017
0 references
fast Fourier transform
0 references
forward measure
0 references
regime-switching
0 references
stochastic interest rate
0 references
