FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
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Publication:3166714
DOI10.1142/S0219024912500379zbMath1262.91071arXiv1105.4567MaRDI QIDQ3166714
Publication date: 15 October 2012
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1105.4567
option pricingFourier transform methodsstochastic volatility modelsforward starting optionsregime switching jump-diffusion models
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