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FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS - MaRDI portal

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (Q3166714)

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English
FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
scientific article

    Statements

    title
    FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS (English)
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    author
    Alessandro Ramponi
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    publication date
    15 October 2012
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    zbMATH Keywords
    regime switching jump-diffusion models
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    Fourier transform methods
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    option pricing
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    forward starting options
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    stochastic volatility models
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    cites work

    Identifiers

    zbMATH DE Number
    6093593
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    arXiv ID
    1105.4567
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