Browsing Mathematics (Faculty of) by Author "Akhavein Sohrabi, Mohammad Yousef"
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Option Pricing under Regime Switching (Analytical, PDE, and FFT Methods)
Akhavein Sohrabi, Mohammad Yousef (University of Waterloo, 2011-05-19)Although globally used in option pricing, the Black-Scholes model has not been able to reflect the evolution of stocks in the real world. A regime-switching model which allows jumps in the underlying asset prices and the ...