IDEAS home Printed from
   My bibliography  Save this article

Efficient Laplace Inversion, Wiener-Hopf Factorization And Pricing Lookbacks



    () (Department of Economics, University of Texas at Austin, 1 University Station C3100, Austin, TX 78712–0301, USA)


    () (Department of Mathematics, University of Leicester, University Road, Leicester, LE1 7RH, United Kingdom)


We construct fast and accurate methods for (a) approximate Laplace inversion, (b) approximate calculation of the Wiener-Hopf factors for wide classes of Lévy processes with exponentially decaying Lévy densities, and (c) approximate pricing of lookback options. In all cases, we use appropriate conformal change-of-variable techniques, which allow us to apply the simplified trapezoid rule with a small number of terms (the changes of variables in the outer and inner integrals and in the formulas for the Wiener-Hopf factors must be compatible in a certain sense). The efficiency of the method stems from the properties of functions analytic in a strip (these properties were explicitly used in finance by Feng and Linetsky 2008). The same technique is applicable to the calculation of the pdfs of supremum and infimum processes, and to the calculation of the prices and sensitivities of options with lookback and barrier features.

Suggested Citation

  • Svetlana Boyarchenko & Sergei Levendorskiĭ, 2013. "Efficient Laplace Inversion, Wiener-Hopf Factorization And Pricing Lookbacks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(03), pages 1-40.
  • Handle: RePEc:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500118
    DOI: 10.1142/S0219024913500118

    Download full text from publisher

    File URL:
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    1. Svetlana I Boyarchenko & Sergei Z Levendorskii, 2002. "Non-Gaussian Merton-Black-Scholes Theory," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 4955, September.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    Cited by:

    1. repec:wsi:ijtafx:v:20:y:2017:i:05:n:s0219024917500339 is not listed on IDEAS
    2. Svetlana Boyarchenko & Sergei Levendorskiu{i}, 2018. "SINH-acceleration: efficient evaluation of probability distributions, option pricing, and Monte-Carlo simulations," Papers 1808.05295,


    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:wsi:ijtafx:v:16:y:2013:i:03:n:s0219024913500118. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Tai Tone Lim). General contact details of provider: .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.