Performance of Gahver-Stehfest Numerical Laplace Inversion Method on Option Pricing Formulas

Autor:	Endah Rokhmati Merdika Putri, Sentot Didik Surjanto
Rok vydání:	2017
Předmět:	010101 applied mathematics Mathematical optimization Laplace transform Laplace inversion Valuation of options Simple function 010102 general mathematics Applied mathematics Finite difference methods for option pricing 0101 mathematics 01 natural sciences Mathematics
Zdroj:	International Journal of Computing Science and Applied Mathematics. 3:71
ISSN:	2477-5401
Popis:	In this paper we study the performance of Gahver-Stehfest numerical Laplace inversion method. The method is applied to some simple functions which have analytical Laplace inversion and the option pricing formulas which their analytical inversions are not available. The accuracy and efficiency of the methods for each functions are presented.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::8871816ce5f2752509b2a1f4fb80e532 https://doi.org/10.12962/j24775401.v3i2.2215 Zobrazit plný text záznamu