A Laplace transform approach for pricing European options
DOI10.1007/978-81-322-2485-3_37zbMATH Open1336.91085OpenAlexW2402537818MaRDI QIDQ2801933FDOQ2801933
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
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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)
Cites Work
- The pricing of options and corporate liabilities
- Title not available (Why is that?)
- Spectral Methods in MATLAB
- Parabolic and hyperbolic contours for computing the Bromwich integral
- The Accurate Numerical Inversion of Laplace Transforms
- On the natural solution of an impulsive fractional differential equation of order \(q\in (1,2)\)
- 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
- Title not available (Why is that?)
- Numerical pricing of options using high-order compact finite difference schemes
Cited In (12)
- Pricing vulnerable European options under a two-sided jump model via Laplace transforms
- Valuing American options under the CEV model by Laplace-Carson transforms
- Laplace transformation method for the Black-Scholes equation
- Contour integral method for European options with jumps
- Laplace transform approach to option pricing for time-changed Brownian models
- An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
- Laplace transform and finite difference methods for the Black-Scholes equation
- Laplace transforms of stochastic integrals and the pricing of Bermudan swaptions
- Advantages of the Laplace transform approach in pricing first touch digital options in Lévy-driven models
- Numerical inverse Laplace transform for convection-diffusion equations
- Z-Transform and preconditioning techniques for option pricing
- A Laplace transform finite difference method for the Black-Scholes equation
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