DocumentCode
2128774
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
fYear
2009
fDate
20-22 Sept. 2009
Firstpage
1
Lastpage
4
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;
fLanguage
English
Publisher
ieee
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
Type
conf
DOI
10.1109/ICMSS.2009.5303110
Filename
5303110
Link To Document