Option pricing in a regime-switching model using the fast Fourier transform

DOI10.1155/JAMSA/2006/18109zbMath1140.91402MaRDI QIDQ937475

Qing Zhang, Ruihua Liu, G. George Yin

Publication date: 15 August 2008

Published in: Journal of Applied Mathematics and Stochastic Analysis (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/54322

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

65C05: Monte Carlo methods

91G20: Derivative securities (option pricing, hedging, etc.)

65T50: Numerical methods for discrete and fast Fourier transforms

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