Computable error bounds of multidimensional Euler inversion and their financial applications

DOI10.1016/J.ORL.2022.10.013OpenAlexW4309092728MaRDI QIDQ2102846FDOQ2102846

Authors: Pingping Zeng, Chao Shi 

Publication date: 12 December 2022

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

Full work available at URL: https://doi.org/10.1016/j.orl.2022.10.013

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zbMATH Keywords

barrier optiontruncation errordiscretization errorjoint probability of defaultmultidimensional Euler inversion

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• A jump-diffusion model for option pricing
• Classical Fourier analysis
• A Fourier transform method for spread option pricing
• The Fourier-series method for inverting transforms of probability distributions
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering
• Asymptotic analysis of the mixed-exponential jump diffusion model and its financial applications

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