An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
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Publication:703247
DOI10.1016/J.ORL.2003.06.004zbMATH Open1063.65143OpenAlexW2016605727MaRDI QIDQ703247FDOQ703247
Publication date: 11 January 2005
Published in: Operations Research Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.orl.2003.06.004
Numerical methods (including Monte Carlo methods) (91G60) Laplace transform (44A10) Numerical methods for integral transforms (65R10)
Cites Work
- The pricing of options and corporate liabilities
- A Jump-Diffusion Model for Option Pricing
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- The Fourier-series method for inverting transforms of probability distributions
- Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
- Computation of the Bivariate Normal Integral
Cited In (23)
- FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
- Pricing vulnerable lookback options using Laplace transforms
- Numerical inverse transformation of double sided Laplace transform with parameter optimization
- Pricing turbo warrants under mixed-exponential jump diffusion model
- VALUING EQUITY-LINKED DEATH BENEFITS IN A REGIME-SWITCHING FRAMEWORK
- Pricing airbag option via first passage time approach
- Bessel processes, stochastic volatility, and timer options
- On the First Passage Time Under Regime-Switching with Jumps
- A Two-Sided Laplace Inversion Algorithm with Computable Error Bounds and its Applications in Financial Engineering
- Two-dimensional Laplace transform inversion using bivariate homogeneous two-point Padé approximants
- ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS
- Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
- Omega diffusion risk model with surplus-dependent tax and capital injections
- On moment non-explosions for Wishart-based stochastic volatility models
- Pricing external barrier options in a regime-switching model
- Title not available (Why is that?)
- Pricing and Hedging of Quantile Options in a Flexible Jump Diffusion Model
- Pricing vulnerable options with correlated jump-diffusion processes depending on various states of the economy
- Pricing double-barrier options under a flexible jump diffusion model
- A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
- Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
- CREDIT-EQUITY MODELING UNDER A LATENT LÉVY FIRM PROCESS
- Fair Valuation of Life Insurance Contracts Under a Two-Sided Jump Diffusion Model
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