Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing
From MaRDI portal
Publication:2143475
DOI10.1007/s11425-020-1777-1zbMath1496.91088OpenAlexW3194487618WikidataQ114222418 ScholiaQ114222418MaRDI QIDQ2143475
Publication date: 31 May 2022
Published in: Science China. Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11425-020-1777-1
Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)
Cites Work
- Unnamed Item
- Pricing Parisian and Parasian options analytically
- Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing
- Fast Laplace transform methods for free-boundary problems of fractional diffusion equations
- Pricing Parisian down-and-in options
- A NEW ANALYTICAL APPROXIMATION FORMULA FOR THE OPTIMAL EXERCISE BOUNDARY OF AMERICAN PUT OPTIONS
- Parabolic and hyperbolic contours for computing the Bromwich integral
- The Accurate Numerical Inversion of Laplace Transforms
- Brownian Excursions and Parisian Barrier Options
- Pricing American-style Parisian up-and-out call options
- Brownian excursions and Parisian barrier options: a note
- Convergence of Iterative Laplace Transform Methods for a System of Fractional PDEs and PIDEs Arising in Option Pricing