An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
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Publication:703247
DOI10.1016/j.orl.2003.06.004zbMath1063.65143OpenAlexW2016605727MaRDI QIDQ703247
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)
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Cites Work
- The Pricing of Options and Corporate Liabilities
- A Jump-Diffusion Model for Option Pricing
- The Fourier-series method for inverting transforms of probability distributions
- Multidimensional transform inversion with applications to the transient \(M/G/1\) queue
- Pricing and Hedging Path-Dependent Options Under the CEV Process
- Computation of the Bivariate Normal Integral
- A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
- Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
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