Year: 2011
Author: Anton Mezentsev, Anton Pomelnikov, Matthias Ehrhardt
Advances in Applied Mathematics and Mechanics, Vol. 3 (2011), Iss. 2 : pp. 141–164
Abstract
In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options. We compare the results with the one obtained using other classical methods for the inverse Laplace transformation, like the Euler summation method or the Gaver-Stehfest method.
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Journal Article Details
Publisher Name: Global Science Press
Language: English
DOI: https://doi.org/10.4208/aamm.10-m1025
Advances in Applied Mathematics and Mechanics, Vol. 3 (2011), Iss. 2 : pp. 141–164
Published online: 2011-01
AMS Subject Headings: Global Science Press
Copyright: COPYRIGHT: © Global Science Press
Pages: 24
Author Details
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