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Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing

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Abstract

We 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 Info

Paper provided by Quantitative Finance Research Centre, University of Technology, Sydney in its series Research Paper Series with number 27.

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Date of creation: 01 Dec 1999
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Handle: RePEc:uts:rpaper:27

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Cited by:
  1. Hardy Hulley & Eckhard Platen, 2007. "Laplace Transform Identities for Diffusions, with Applications to Rebates and Barrier Options," Research Paper Series 203, Quantitative Finance Research Centre, University of Technology, Sydney.
  2. repec:hal:journl:halshs-00443846 is not listed on IDEAS
  3. Mark Craddock & Eckhard Platen, 2003. "Symmetry Group Methods for Fundamental Solutions and Characteristic Functions," Research Paper Series 90, Quantitative Finance Research Centre, University of Technology, Sydney.
  4. repec:hal:cesptp:halshs-00443846 is not listed on IDEAS
  5. repec:hal:journl:halshs-00384398 is not listed on IDEAS
  6. Nicola Bruti-Liberati & Eckhard Platen, 2006. "Approximation of Jump Diffusions in Finance and Economics," Research Paper Series 176, Quantitative Finance Research Centre, University of Technology, Sydney.
  7. Xiaolin Luo & Pavel V. Shevchenko & John B. Donnelly, 2009. "Addressing the Impact of Data Truncation and Parameter Uncertainty on Operational Risk Estimates," Papers 0904.2910, arXiv.org.
  8. Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.

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