An FFT approach for option pricing under a regime-switching stochastic interest rate model (Q5349081)
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scientific article; zbMATH DE number 6763593
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | An FFT approach for option pricing under a regime-switching stochastic interest rate model |
scientific article; zbMATH DE number 6763593 |
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An FFT approach for option pricing under a regime-switching stochastic interest rate model (English)
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23 August 2017
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fast Fourier transform
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forward measure
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regime-switching
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stochastic interest rate
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