Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options
Alessandro Ramponi
| Year of publication: |
2012
|
|---|---|
| Authors: | Ramponi, Alessandro |
| Published in: |
International journal of theoretical and applied finance. - River Edge, NJ [u.a.] : World Scientific, ISSN 0219-0249, ZDB-ID 1428982-9. - Vol. 15.2012, 5, p. 1-26
|
| Subject: | Regime switching jump-diffusion models | Fourier transform methods | option pricing | Forward Starting options | stochastic volatility models | Optionspreistheorie | Option pricing theory | Stochastischer Prozess | Stochastic process | Optionsgeschäft | Option trading | Volatilität | Volatility | Markov-Kette | Markov chain |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009672605