• DocumentCode
    3169903
  • Title

    Option pricing for a double exponential jump diffusion model with regime-switching using FFT

  • Author

    Wang, Chunfa ; Haoran, Huang ; Jing, Song ; Huan, Zheng

  • Author_Institution
    Sch. of Finance, Zhejiang Univ. of Econ. & Finance, Hangzhou, China
  • fYear
    2011
  • fDate
    8-10 Aug. 2011
  • Firstpage
    472
  • Lastpage
    475
  • Abstract
    In this paper, option pricing for a double exponential 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; stochastic processes; FFT; double exponential jump diffusion model; fast Fourier transform; option pricing; regime-switching; Finance; Fourier transforms; Markov processes; Mathematical model; Numerical models; Pricing; Switches;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Artificial Intelligence, Management Science and Electronic Commerce (AIMSEC), 2011 2nd International Conference on
  • Conference_Location
    Deng Leng
  • Print_ISBN
    978-1-4577-0535-9
  • Type

    conf

  • DOI
    10.1109/AIMSEC.2011.6010387
  • Filename
    6010387
    • Link To Document
    https://search.isc.ac/dl/search/defaultta.aspx?DTC=49&DC=3169903