On three methods for analytic Laplace inversion in the framework of Brownian motion and their excursions
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Publication:2850031
DOI10.1090/S0033-569X-2013-01324-5zbMath1278.44001MaRDI QIDQ2850031
Publication date: 20 September 2013
Published in: Quarterly of Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1090/s0033-569x-2013-01324-5
excursions; Laplace transform; convolution; Brownian motion; analytic Laplace inversion; Azémas martingales; Parisian barrier options
60J65: Brownian motion
91G20: Derivative securities (option pricing, hedging, etc.)
44A10: Laplace transform
Cites Work