Option pricing in a regime-switching model using the fast Fourier transform.
Journal of Applied Mathematics and Stochastic Analysis (2006)
- Volume: 2006, page Article ID 18109, 22 p.-Article ID 18109, 22 p.
- ISSN: 2090-3332
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topLiu, R.H., Zhang, Q., and Yin, G.. "Option pricing in a regime-switching model using the fast Fourier transform.." Journal of Applied Mathematics and Stochastic Analysis 2006 (2006): Article ID 18109, 22 p.-Article ID 18109, 22 p.. <http://eudml.org/doc/54322>.
@article{Liu2006,
author = {Liu, R.H., Zhang, Q., Yin, G.},
journal = {Journal of Applied Mathematics and Stochastic Analysis},
language = {eng},
pages = {Article ID 18109, 22 p.-Article ID 18109, 22 p.},
publisher = {Hindawi Publishing Corporation, New York},
title = {Option pricing in a regime-switching model using the fast Fourier transform.},
url = {http://eudml.org/doc/54322},
volume = {2006},
year = {2006},
}
TY - JOUR
AU - Liu, R.H.
AU - Zhang, Q.
AU - Yin, G.
TI - Option pricing in a regime-switching model using the fast Fourier transform.
JO - Journal of Applied Mathematics and Stochastic Analysis
PY - 2006
PB - Hindawi Publishing Corporation, New York
VL - 2006
SP - Article ID 18109, 22 p.
EP - Article ID 18109, 22 p.
LA - eng
UR - http://eudml.org/doc/54322
ER -
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