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@INPROCEEDINGS{jackson_jaimungal_surkov_2007_option_pricing_regime_fst,
  author = {Kenneth R. Jackson and Sebastian Jaimungal and Vladimir Surkov},
  title = {Option Pricing with Regime Switching {L}\'evy Processes using {F}ourier
	Space Time-stepping},
  booktitle = {Proceeding of the Fourth IASTED International Conference on Financial
	Engineering and Applications},
  year = {2007},
  pages = {92-97},
  keywords = {Option Pricing, Levy Processes, Regime Switching, Fourier Methods,
	American Options, Catastrophe Options}
}