Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing
AbstractWe consider different approaches to the problem of numerically inverting Laplace transforms in finance. In particular, we discuss numerical inversion techniques in the context of Asian option pricing.
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Bibliographic InfoPaper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 27.
Date of creation: 01 Dec 1999
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