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
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;
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
DOI :
10.1109/AIMSEC.2011.6010387
