A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering

DOI10.1239/aap/1409319559zbMath1315.65106OpenAlexW2151495144MaRDI QIDQ3191822

Zongjian Liu, S. G. Kou, Ning Cai

Publication date: 25 September 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1409319559

zbMATH Keywords

option pricingtruncation errordiscretization errorLaplace inversiontwo-sided Laplace transform

Mathematics Subject Classification ID

Related Items (10)

A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering ⋮ Some new infinite series expansions for the first passage time densities in a jump diffusion model with phase-type jumps ⋮ Error bounds for cumulative distribution functions of convolutions via the discrete Fourier transform ⋮ A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications ⋮ Computable Error Bounds of Laplace Inversion for Pricing Asian Options ⋮ A general framework for pricing Asian options under stochastic volatility on parallel architectures ⋮ Collateralized Borrowing and Default Risk ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes ⋮ Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications ⋮ Computable error bounds of multidimensional Euler inversion and their financial applications

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• A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering
• PRICING DISCRETELY MONITORED BARRIER OPTIONS AND DEFAULTABLE BONDS IN LÉVY PROCESS MODELS: A FAST HILBERT TRANSFORM APPROACH
• Saddlepoint methods for option pricing
• On multipliers preserving convergence of trigonometric series almost everywhere

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