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

2012 ◽  
Vol 15 (05) ◽  
pp. 1250037 ◽  
Author(s):  
ALESSANDRO RAMPONI
Keyword(s):  
Fourier Transform ◽  
Regime Switching ◽  
Closed Form Solution ◽  
Jump Diffusion ◽  
Form Solution ◽  
Transform Method ◽  
Finite State ◽  
Jump Diffusion Model ◽  
Log Price ◽  
The Fourier Transform

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 underlying of European contingent claims. For this class of processes we firstly outline the Fourier transform method both in log-price and log-strike to efficiently calculate the value of various types of options and as a concrete example of application, we present some numerical results within a two-state regime switching version of the Merton jump-diffusion model. Then we develop a closed-form solution to the problem of pricing a Forward Starting Option and use this result to approximate the value of such a derivative in a general stochastic volatility framework.

The Axially Loaded Circular Cylinder

1962 ◽  
Vol 29 (2) ◽  
pp. 318-320
Author(s):  
H. D. Conway
Keyword(s):  
Exact Solution ◽  
Fourier Transform ◽  
Circular Cylinder ◽  
Closed Form ◽  
Cross Sections ◽  
Closed Form Solution ◽  
Form Solution ◽  
Concentrated Force ◽  
Transform Method ◽  
Fourier Transform Method

Commencing with Kelvin’s closed-form solution to the problem of a concentrated force acting at a given point in an indefinitely extended solid, a Fourier transform method is used to obtain an exact solution for the case when the force acts along the axis of a circular cylinder. Numerical values are obtained for the maximum direct stress on cross sections at various distances from the force. These are then compared with the corresponding stresses from the solution for an infinitely long strip, and in both cases it is observed that the stresses are practically uniform on cross sections greater than a diameter or width from the point of application of the load.

scholarly journals Dynamic Analysis of an Infinitely Long Beam Resting on a Kelvin Foundation under Moving Random Loads

2017 ◽  
Vol 2017 ◽  
pp. 1-13
Author(s):  
Y. Zhao ◽  
L. T. Si ◽  
H. Ouyang
Keyword(s):  
Fourier Transform ◽  
Random Vibration ◽  
Moving Load ◽  
Closed Form Solution ◽  
Form Solution ◽  
Integration Scheme ◽  
Random Loads ◽  
Numerical Integration Scheme ◽  
Vibration Responses ◽  
The Fourier Transform

Nonstationary random vibration analysis of an infinitely long beam resting on a Kelvin foundation subjected to moving random loads is studied in this paper. Based on the pseudo excitation method (PEM) combined with the Fourier transform (FT), a closed-form solution of the power spectral responses of the nonstationary random vibration of the system is derived in the frequency-wavenumber domain. On the numerical integration scheme a fast Fourier transform is developed for moving load problems through a parameter substitution, which is found to be superior to Simpson’s rule. The results obtained by using the PEM-FT method are verified using Monte Carlo method and good agreement between these two sets of results is achieved. Special attention is paid to investigation of the effects of the moving load velocity, a few key system parameters, and coherence of loads on the random vibration responses. The relationship between the critical speed and resonance is also explored.

FOURIER TRANSFORM METHOD WITH AN ASYMPTOTIC EXPANSION APPROACH: AN APPLICATION TO CURRENCY OPTIONS

2008 ◽  
Vol 11 (04) ◽  
pp. 381-401 ◽  
Author(s):  
AKIHIKO TAKAHASHI ◽  
KOHTA TAKEHARA
Keyword(s):  
Fourier Transform ◽  
Asymptotic Expansion ◽  
Interest Rates ◽  
Jump Diffusion ◽  
Characteristic Functions ◽  
Currency Options ◽  
Transform Method ◽  
Fourier Transform Method ◽  
Libor Market Model ◽  
Jump Diffusion Model

This paper develops a Fourier transform method with an asymptotic expansion approach for option pricing. The method is applied to European currency options with a libor market model of interest rates and jump-diffusion stochastic volatility models of spot exchange rates. In particular, we derive closed-form approximation formulas of the characteristic functions of log-prices of the underlying assets and the prices of currency options based on a third order asymptotic expansion scheme; we use a jump-diffusion model with a mean-reverting stochastic variance process such as in Heston [7]/Bates [1] and log-normal market models for domestic and foreign interest rates. Finally, the validity of our method is confirmed through numerical examples.

scholarly journals Variance Swap Pricing under Markov-Modulated Jump-Diffusion Model

2021 ◽  
Vol 2021 ◽  
pp. 1-16
Author(s):  
Shican Liu ◽  
Yu Yang ◽  
Hu Zhang ◽  
Yonghong Wu
Keyword(s):  
Closed Form ◽  
Diffusion Model ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Strike Price ◽  
Transform Method ◽  
Variance Swap ◽  
Continuous Sampling ◽  
Jump Diffusion Model ◽  
Pricing Formula

This paper investigates the pricing of discretely sampled variance swaps under a Markov regime-switching jump-diffusion model. The jump diffusion, as well as other parameters of the underlying stock’s dynamics, is modulated by a Markov chain representing different states of the market. A semi-closed-form pricing formula is derived by applying the generalized Fourier transform method. The counterpart pricing formula for a variance swap with continuous sampling times is also derived and compared with the discrete price to show the improvement of accuracy in our solution. Moreover, a semi-Monte-Carlo simulation is also presented in comparison with the two semi-closed-form pricing formulas. Finally, the effect of incorporating jump and regime switching on the strike price is investigated via numerical analysis.

Moving Loads on an Elastic Plate Strip

1974 ◽  
Vol 41 (3) ◽  
pp. 713-718 ◽  
Author(s):  
A. A. Adler ◽  
H. Reismann
Keyword(s):  
Plate Theory ◽  
Infinite Plate ◽  
Harmonic Component ◽  
Closed Form Solution ◽  
Form Solution ◽  
Elementary Functions ◽  
Transform Method ◽  
Line Load ◽  
Plate Strip ◽  
The Fourier Transform

The response of an infinite plate strip under an arbitrarily distributed transverse moving line load is determined. The line of application of the load is perpendicular to the infinite edges, and the load is assumed to propagate parallel to the infinite edges of the plate at constant speed. The problem is formulated as a boundary-value problem within the framework of a plate theory which includes the effects of shear deformation and rotatory inertia. A closed-form solution, in terms of elementary functions, is obtained for each harmonic component of the line load by the Fourier transform method in conjunction with contour integration.

Option Pricing in a Jump-Diffusion Model with Regime Switching

2009 ◽  
Vol 39 (2) ◽  
pp. 515-539 ◽  
Author(s):  
Fei Lung Yuen ◽  
Hailiang Yang
Keyword(s):  
Diffusion Model ◽  
Regime Switching ◽  
Jump Diffusion ◽  
Mathematical Finance ◽  
Extended Model ◽  
Exotic Options ◽  
Switching Model ◽  
Jump Diffusion Model ◽  
Trinomial Tree ◽  
Tree Method

AbstractNowadays, the regime switching model has become a popular model in mathematical finance and actuarial science. The market is not complete when the model has regime switching. Thus, pricing the regime switching risk is an important issue. In Naik (1993), a jump diffusion model with two regimes is studied. In this paper, we extend the model of Naik (1993) to a multi-regime case. We present a trinomial tree method to price options in the extended model. Our results show that the trinomial tree method in this paper is an effective method; it is very fast and easy to implement. Compared with the existing methodologies, the proposed method has an obvious advantage when one needs to price exotic options and the number of regime states is large. Various numerical examples are presented to illustrate the ideas and methodologies.

scholarly journals Apparent Variation of v sin i and Rotational Modulation in Be Stars

2004 ◽  
Vol 215 ◽  
pp. 93-94
Author(s):  
C. Neiner ◽  
S. Jankov ◽  
M. Floquet ◽  
A. M. Hubert
Keyword(s):  
Fourier Transform ◽  
Magnetic Dipole ◽  
Be Stars ◽  
Line Profiles ◽  
Transform Method ◽  
Rotational Modulation ◽  
Be Star ◽  
Apparent Variation ◽  
The Fourier Transform ◽  
First Time

v sin i was determined by applying the Fourier transform method to the line profiles of two classical Be Stars. A variation is observed in the apparent v sin i which corresponds to the main frequencies associated to nrp modes. Rotational modulation is observed in wind sensitive UV lines of the Be star ω Ori and is associated with an oblique magnetic dipole which is discovered for the first time in a classical Be star.

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