Valuation of correlation options under a stochastic interest rate model with regime switching

机标关键词：inverse Fourier transform、fast Fourier transform、interest rate、Markov chain

所属期刊栏目：12

分类号：P63;U6

资助基金：the National Natural Science Foundation of ChinaGrant .11501211,11571113,11231005;the Program of Shanghai Subject Chief Scientist14XD1401600;the 111 ProjectB14019;the Shanghai Pujiang Program15PJC026;the Shanghai Philosophy Social Science Planning Office Project2015EJB002;the China Postdoctoral Science Foundation2015M581564;the Shanghai Chenguang Plan15CG22

在线出版日期：2017-12-15（万方平台首次上网日期，不代表论文的发表时间）

页数：共18页

页码：1113-1130