An FFT approach for option pricing under a regime-switching stochastic interest rate model

DOI10.1080/03610926.2015.1100740zbMath1369.91178OpenAlexW2565687861MaRDI QIDQ5349081

Yang Shen, Tak Kuen Siu, Rong-Ming Wang, Kun Fan

Publication date: 23 August 2017

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2015.1100740

zbMATH Keywords

fast Fourier transformstochastic interest rateforward measureregime-switching

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for discrete and fast Fourier transforms (65T50)

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COS method for option pricing under a regime-switching model with time-changed Lévy processes ⋮ A unified option pricing model with Markov regime-switching double stochastic volatility, stochastic interest rate and jumps ⋮ Valuation of correlation options under a stochastic interest rate model with regime switching ⋮ Pricing power exchange options with default risk, stochastic volatility and stochastic interest rate ⋮ Option pricing in Markov-modulated exponential Lévy models with stochastic interest rates ⋮ Option pricing under time interval driven model ⋮ The Valuation of a Guaranteed Minimum Maturity Benefit under a Regime-Switching Framework

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