Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing

DOI10.1007/s11425-020-1777-1zbMath1496.91088OpenAlexW3194487618WikidataQ114222418 ScholiaQ114222418MaRDI QIDQ2143475

Zhiqiang Zhou, Jingtang Ma

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

zbMATH Keywords

convergence rateLaplace transform methodParisian optioncoupled PDEParasian option

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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