Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing
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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|Date of creation:||01 Dec 1999|
|Publication status:||Published as: Craddock, M., Heath, D. and Platen, E., 2000, "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing", Journal of Computational Financxe, 4(1), 57-81.|
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