Pricing exotic options in a regime switching economy: a Fourier transform method

DOI10.1007/s11147-017-9139-1zbMath1417.91553OpenAlexW2760782088MaRDI QIDQ1621619

Peter Hieber

Publication date: 9 November 2018

Published in: Review of Derivatives Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11147-017-9139-1

zbMATH Keywords

option pricingregime switchingWiener-Hopf factorizationMarkov switching

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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