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Efficient Numerical Valuation of Continuous Installment Options

Published online by Cambridge University Press:  03 June 2015

Anton Mezentsev*
Affiliation:
IDE, Halmstad University, Box 823, 301 18, Halmstad, Sweden
Anton Pomelnikov*
Affiliation:
IDE, Halmstad University, Box 823, 301 18, Halmstad, Sweden
Matthias Ehrhardt*
Affiliation:
Lehrstuhl für Angewandte Mathematik und Numerische Analysis, Fachbereich C–Mathematik und Naturwissenschaften, Bergische Universität Wuppertal, Gaußstr. 20, 42119 Wuppertal, Germany
*
Corresponding author. URL: http://www-num.math.uni-wuppertal.de/~ehrhardt/ Email: [email protected]
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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.

Type
Research Article
Copyright
Copyright © Global-Science Press 2011

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