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...

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Veröffentlicht in:Operations research letters Jg. 32; H. 4; S. 380 - 389
1. Verfasser: Petrella, G.
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Elsevier B.V 01.07.2004
Schlagworte:
Euler inversion algorithm
Laplace transform
Option pricing
Euler inversion algorithm
Laplace transform
Option pricing
ISSN:0167-6377, 1872-7468
Online-Zugang:Volltext
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Zusammenfassung: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