Title :
Option Pricing for Merton Jump Diffusion Model with Regime-Switching Using FFT
Author :
Wang, Chunfa ; Chen, Rongda
Author_Institution :
Sch. of Finance, Zhejiang Univ. of Econ. & Finance, Hangzhou, China
Abstract :
In this paper, option pricing for Merton jump diffusion model with regime-switching is concerned. The method of fast Fourier transform (FFT) is adopted to calculate the option prices. Numerical results are reported.
Keywords :
fast Fourier transforms; pricing; share prices; FFT; Merton jump diffusion model; fast Fourier transform; option pricing; regime-switching; Differential equations; Diffusion processes; Economic indicators; Fast Fourier transforms; Finance; Fluctuations; Gaussian distribution; Helium; Pricing; Yttrium;
Conference_Titel :
Management and Service Science, 2009. MASS '09. International Conference on
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-4638-4
Electronic_ISBN :
978-1-4244-4639-1
DOI :
10.1109/ICMSS.2009.5303110
