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Efficient Numerical Valuation of Continuous Installment Options
Published online by Cambridge University Press: 03 June 2015
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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- Copyright © Global-Science Press 2011
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