COS method for option pricing under a regime-switching model with time-changed Lévy processes
Year of publication: |
April 2018
|
---|---|
Authors: | Tour, G. ; Thakoor, N. ; Khaliq, Abdul Q. M. ; Tangman, D. Y. |
Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 4, p. 673-692
|
Subject: | Option pricing | Fourier cosine expansion | Regime-switching | Time-changed Lévy processes | Market model calibration | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Volatilität | Volatility |
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