COS method for option pricing under a regime-switching model with time-changed Lévy processes
G. Tour, N. Thakoor, A. Q. M. Khaliq and D. Y. Tangman
| Year of publication: |
April 2018
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|---|---|
| Authors: | Tour, G. ; Thakoor, N. ; Khaliq, Abdul Q. M. ; Tangman, D. Y. |
| Published in: |
Quantitative finance. - Abingdon [u.a.] : Routledge, ISSN 1469-7688, ZDB-ID 2055458-8. - Vol. 18.2018, 4, p. 673-692
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| Subject: | Option pricing | Fourier cosine expansion | Regime-switching | Time-changed Lévy processes | Market model calibration | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Markov-Kette | Markov chain |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2017.1412494 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011906458