Option pricing in Markov regime switching Lévy models using Fourier-Cosine expansions

MaRDI QIDQ5276409zbMATH OpenFDO

Authors Chunfa Wang, Rong-Da Chen

Publication date 14 July 2017

zbMATH Keywords

Fourier transformoption pricingMarkov regime switchingFourier cosine expansionLévy processes

Mathematics Subject Classification ID

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

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(6)

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