FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS
Year of publication: |
2012
|
---|---|
Authors: | RAMPONI, ALESSANDRO |
Published in: |
International Journal of Theoretical and Applied Finance (IJTAF). - World Scientific Publishing Co. Pte. Ltd., ISSN 1793-6322. - Vol. 15.2012, 05, p. 1250037-1
|
Publisher: |
World Scientific Publishing Co. Pte. Ltd. |
Subject: | Regime switching jump-diffusion models | Fourier transform methods | option pricing | Forward Starting options | stochastic volatility models |
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