Generalized Finite Integration Method with Laplace transform for European option pricing under Black–Scholes and Heston models

In this paper, we combine a recently developed Generalized Finite Integration Method (GFIM) with Laplace transform technique for pricing options under the Black Scholes model and Heston model respectively. Instead of using traditional time-stepping process, we first perform Laplace transform on the...

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Bibliographic Details

Published in:	Engineering analysis with boundary elements Vol. 164; p. 105751
Main Authors:	Ma, Y., Shi, C.Z., Hon, Y.C.
Format:	Journal Article
Language:	English
Published:	Elsevier Ltd 01.07.2024
Subjects:	Black–Scholes model Generalized Finite Integration Method Heston model Laplace transform Option pricing Generalized Finite Integration Method Laplace transform Option pricing Black–Scholes model Heston model
ISSN:	0955-7997
Online Access:	Get full text
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