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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
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
Date of revision:
You can help add them by filling out this form.
CitEc Project, subscribe to its RSS feed for this item.
- 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.
- repec:hal:journl:halshs-00443846 is not listed on IDEAS
- 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.
- repec:hal:cesptp:halshs-00443846 is not listed on IDEAS
- repec:hal:journl:halshs-00384398 is not listed on IDEAS
- 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.
- Nicola Bruti-Liberati & Eckhard Platen, 2007. "Approximation of jump diffusions in finance and economics," Computational Economics, Society for Computational Economics, vol. 29(3), pages 283-312, May.
- 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.
- Xiaolin Luo & Pavel V. Shevchenko, 2009. "Computing Tails of Compound Distributions Using Direct Numerical Integration," Papers 0904.0830, arXiv.org, revised Feb 2010.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Duncan Ford).
If references are entirely missing, you can add them using this form.