Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing
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References listed on IDEAS
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- 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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"A new algorithm for the loss distribution function with applications to Operational Risk Management,"
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09023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
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- Hardy Hulley, 2009. "Strict Local Martingales in Continuous Financial Market Models," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 19.
- Kwai Sun Leung & Yue Kuen Kwok, 2008. "Employee stock option valuation with repricing features," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 561-569.
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