Option pricing in a regime-switching model using the fast Fourier transform.
Liu, R.H. ; Zhang, Q. ; Yin, G.
Journal of Applied Mathematics and Stochastic Analysis, Tome 2006 (2006), / Harvested from The Electronic Library of Mathematics
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Publié le : 2006-01-01
DOI : https://doi.org/10.1155/JAMSA/2006/18109
EUDML-ID : urn:eudml:doc:54322 
@article{05312403,
     title = {Option pricing in a regime-switching model using the fast Fourier transform.},
     journal = {Journal of Applied Mathematics and Stochastic Analysis},
     volume = {2006},
     year = {2006},
     doi = {10.1155/JAMSA/2006/18109},
     zbl = {1140.91402},
     language = {en},
     url = {http://dml.mathdoc.fr/item/05312403}
}

Liu, R.H.; Zhang, Q.; Yin, G. Option pricing in a regime-switching model using the fast Fourier transform.. Journal of Applied Mathematics and Stochastic Analysis, Tome 2006 (2006) . doi : 10.1155/JAMSA/2006/18109. http://gdmltest.u-ga.fr/item/05312403/