A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering

DOI10.1239/aap/1409319559zbMath1315.65106MaRDI QIDQ3191822

Zongjian Liu, S. G. Kou, Ning Cai

Publication date: 25 September 2014

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1409319559

zbMATH Keywords

option pricing; truncation error; discretization error; Laplace inversion; two-sided Laplace transform

Mathematics Subject Classification ID

91G60: Numerical methods (including Monte Carlo methods)

91G20: Derivative securities (option pricing, hedging, etc.)

44A10: Laplace transform

65R10: Numerical methods for integral transforms

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