Alternative models for FX: pricing double barrier options in
regime-switching L\'evy models with memory
Alternative models for FX: pricing double barrier options in
regime-switching L\'evy models with memory
This paper is a supplement to our recent paper ``Alternative models for FX, arbitrage opportunities and efficient pricing of double barrier options in L\'evy models". We introduce the class of regime-switching L\'evy models with memory, which take into account the evolution of the stochastic parameters in the past. This generalization …