A Laplace transform approach for pricing European options

DOI10.1007/978-81-322-2485-3_37MaRDI QIDQ2801933zbMATHOpenAlexFDO

Authors E. Ngounda, Kailash C. Patidar

Publication date 22 April 2016

Published in Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-81-322-2485-3_37

zbMATH Keywords

option pricingspectral methodscontour integralsexponential time differencing Runge-Kutta methods

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Numerical methods for integral transforms (65R10)

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Cites work

• scientific article; zbMATH DE number 2110431 (Why is no real title available?)
• scientific article; zbMATH DE number 961607 (Why is no real title available?)
• A constructive approach to cubic Hermite fractal interpolation function and its constrained aspects
• Contour integral method for European options with jumps
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
• Generation of Pseudospectral Differentiation Matrices I
• Numerical pricing of options using high-order compact finite difference schemes
• On the natural solution of an impulsive fractional differential equation of order \(q\in (1,2)\)
• Parabolic and hyperbolic contours for computing the Bromwich integral
• Spectral Methods in MATLAB
• The Accurate Numerical Inversion of Laplace Transforms
• The pricing of options and corporate liabilities

Cited in

(12)

• Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
• A Laplace transform finite difference method for the Black-Scholes equation
• Pricing vulnerable European options under a two-sided jump model via Laplace transforms
• Contour integral method for European options with jumps
• An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
• Valuing American options under the CEV model by Laplace-Carson transforms
• Laplace transformation method for the Black-Scholes equation
• Laplace transform approach to option pricing for time-changed Brownian models
• Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
• Numerical inverse Laplace transform for convection-diffusion equations
• Laplace transform and finite difference methods for the Black-Scholes equation
• Z-Transform and preconditioning techniques for option pricing

Describes a project that uses

Uses Software

• Matlab
• Ode15s
• Differentiation Matrix Suite

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