COS method for option pricing under a regime-switching model with time-changed Lévy processes

G. Tour, N. Thakoor, A. Q. M. Khaliq, D. Y. Tangman
  • Quantitative Finance, February 2018, Taylor & Francis
  • DOI: 10.1080/14697688.2017.1412494

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http://dx.doi.org/10.1080/14697688.2017.1412494

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