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Operations Research Letters
Article . 2004 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
image/svg+xml Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao Closed Access logo, derived from PLoS Open Access logo. This version with transparent background. http://commons.wikimedia.org/wiki/File:Closed_Access_logo_transparent.svg Jakob Voss, based on art designer at PLoS, modified by Wikipedia users Nina and Beao
zbMATH Open
Article . 2004
Data sources: zbMATH Open
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An extension of the Euler Laplace transform inversion algorithm with applications in option pricing

An extension of the Euler Laplace transform inversion algorithm with applications in option pricing.
Authors: Petrella, G.;

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

Abstract

In the last few decades, accurate and efficient algorithms for the inversion of Laplace transforms have been developed, which are useful to study prohabilistic models for which explicit solutions are not available. The object of this paper is to specify technical conditions under which the Euler inversion algorithm can be extended to functions defined on the entire real line and compute bounds for corresponding discretization errors. An extension of the Euler algorithm to the entire real line makes it appealing for financial applications since it is often to derive Laplace transforms in the logarithm of a derivatives strike which can be inverted using Euler algorithm. Some applications of this extended Euler algorithm to the pricing of plain vanilla and path independent options are mentioned to highlight the accuracy of the method.

Related Organizations
Keywords

Laplace transform, Numerical methods (including Monte Carlo methods), option pricing, Numerical methods for integral transforms, Euler inversion algorithm

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
34
Top 10%
Top 10%
Average
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