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

zbMATH Open1374.91124MaRDI QIDQ5276409FDOQ5276409

Authors: Chunfa Wang, Rong-Da Chen 

Publication date: 14 July 2017

Recommendations

• COS method for option pricing under a regime-switching model with time-changed Lévy processes
• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
• scientific article; zbMATH DE number 5631315
• Fourier space time-stepping for option pricing with Lévy models
• Efficient option pricing methods based on Fourier series expansions

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)

Cited In (6)

• Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates
• Pricing of early-exercise Asian options under Lévy processes based on Fourier cosine expansions
• Fourier space time-stepping for option pricing with Lévy models
• Spread and basket option pricing in a Markov-modulated Lévy framework with synchronous jumps
• Title not available (Why is that?)
• COS method for option pricing under a regime-switching model with time-changed Lévy processes

This page was built for publication: Option pricing in Markov regime switching Lévy models using Fourier-Cosine expansions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5276409)