An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.

DOI10.1016/J.ORL.2003.06.004MaRDI QIDQ703247zbMATH OpenOpenAlexFDO

Authors G. Petrella

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

zbMATH Keywords

option pricingEuler inversion algorithm

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Laplace transform (44A10) Numerical methods for integral transforms (65R10)

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Cites work

• A closed-form solution for options with stochastic volatility with applications to bond and currency options
• A jump-diffusion model for option pricing
• Computation of the Bivariate Normal Integral
• Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
• Pricing and Hedging Path-Dependent Options Under the CEV Process
• The Fourier-series method for inverting transforms of probability distributions
• The pricing of options and corporate liabilities

Cited in

(24)

• Pricing airbag option via first passage time approach
• A two-sided Laplace inversion algorithm with computable error bounds and its applications in financial engineering
• Fair valuation of life insurance contracts under a two-sided jump diffusion model
• Pricing external barrier options in a regime-switching model
• FIRST PASSAGE TIME UNDER A REGIME-SWITCHING JUMP-DIFFUSION MODEL AND ITS APPLICATION IN THE VALUATION OF PARTICIPATING CONTRACTS
• Valuing equity-linked death benefits in a regime-switching framework
• Pricing vulnerable lookback options using Laplace transforms
• Numerical inverse transformation of double sided Laplace transform with parameter optimization
• Analytic pricing of volatility-equity options within Wishart-based stochastic volatility models
• 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
• Pricing turbo warrants under mixed-exponential jump diffusion model
• A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
• Two-dimensional Laplace transform inversion using bivariate homogeneous two-point Padé approximants
• Credit-equity modeling under a latent Lévy firm process
• Pricing vulnerable options under a jump-diffusion model with fast mean-reverting stochastic volatility
• Pricing and hedging of quantile options in a flexible jump diffusion model
• Numerical inversion for Laplace transforms of functions with discontinuities
• Omega diffusion risk model with surplus-dependent tax and capital injections
• On moment non-explosions for Wishart-based stochastic volatility models
• Pricing step-up options using Laplace transform
• Bessel processes, stochastic volatility, and timer options
• Alternative randomization for valuing American options
• On the First Passage Time Under Regime-Switching with Jumps

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