An extension of the Euler Laplace transform inversion algorithm with applications in option pricing

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 features. Our objective is to apply the method to option pricing problems, specifically when inverting Laplace transforms of the option price in...

Celý popis

Uloženo v:
Podrobná bibliografie
Vydáno v:Operations research letters Ročník 32; číslo 4; s. 380 - 389
Hlavní autor: Petrella, G.
Médium: Journal Article
Jazyk:angličtina
Vydáno: Elsevier B.V 01.07.2004
Témata:
Euler inversion algorithm
Laplace transform
Option pricing
Euler inversion algorithm
Laplace transform
Option pricing
ISSN:0167-6377, 1872-7468
On-line přístup:Získat plný text
Tagy: Přidat tag
Žádné tagy, Buďte první, kdo vytvoří štítek k tomuto záznamu!
Popis
Shrnutí: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 features. Our objective is to apply the method to option pricing problems, specifically when inverting Laplace transforms of the option price in the logarithm of the strike.
ISSN:0167-6377
1872-7468
DOI:10.1016/j.orl.2003.06.004