Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options

A Ramponi - International Journal of Theoretical and Applied …, 2012 - World Scientific
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …
被引用次数：49 相关文章

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS.

A RAMPONI - International Journal of Theoretical & Applied …, 2012 - search.ebscohost.com
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

A Ramponi - arXiv e-prints, 2011 - ui.adsabs.harvard.edu
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options

A Ramponi - INTERNATIONAL JOURNAL OF THEORETICAL …, 2012 - art.torvergata.it
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

FOURIER TRANSFORM METHODS FOR REGIME-SWITCHING JUMP-DIFFUSIONS AND THE PRICING OF FORWARD STARTING OPTIONS

A Ramponi - International Journal of Theoretical and Applied …, 2012 - econpapers.repec.org
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …
[PDF] psu.edu

[PDF][PDF] Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

A Ramponi - arXiv preprint arXiv:1105.4567, 2011 - Citeseer
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …
[PDF] researchgate.net

[PDF][PDF] Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

A Ramponi - arXiv preprint arXiv:1105.4567, 2011 - researchgate.net
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

A Ramponi - 2011 - ideas.repec.org
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

Fourier Transform Methods for Regime-Switching Jump-Diffusions and the Pricing of Forward Starting Options

A Ramponi - arXiv preprint arXiv:1105.4567, 2011 - arxiv.org
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …

Fourier transform methods for regime-switching jump-diffusions and the pricing of forward starting options

A Ramponi - INTERNATIONAL JOURNAL OF THEORETICAL …, 2012 - art.torvergata.it
In this paper we consider a jump-diffusion dynamic whose parameters are driven by a
continuous time and stationary Markov Chain on a finite state space as a model for the …