Suchergebnisse - "Euler inversion algorithm"

Pricing double-barrier options under a flexible jump diffusion model von Cai, Ning, Chen, Nan, Wan, Xiangwei

“… In this paper we present a Laplace transform-based analytical solution for pricing double-barrier options under a flexible hyper-exponential jump diffusion …”
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An extension of the Euler Laplace transform inversion algorithm with applications in option pricing von Petrella, G.

“… We show that the Euler algorithm for Laplace transform inversion can be extended to functions defined on the entire real line, if they have specific decay …”
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