An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.

DOI10.1016/j.orl.2003.06.004zbMath1063.65143OpenAlexW2016605727MaRDI QIDQ703247

G. Petrella

Publication date: 11 January 2005

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2003.06.004

zbMATH Keywords

option pricingEuler inversion algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Laplace transform (44A10) Numerical methods for integral transforms (65R10)

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Cites Work

• The Pricing of Options and Corporate Liabilities
• A Jump-Diffusion Model for Option Pricing
• The Fourier-series method for inverting transforms of probability distributions
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• Computation of the Bivariate Normal Integral
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform

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