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
Installment options are Bermudan-style options where the holder period-ically decides whether to exe...
Laplace transform method (LTM) has a lot of applications in the evaluation of European-style options...
ABSTRACT: Solving the Black-Scholes PDE of the arithmetic Asian options is one of the most difficult...
In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformati...
Mestrado em Matemática FinanceiraInstallment options are financial derivatives in which part of the ...
This paper derives accurate and efficient analytic approximations for the prices of both European an...
In this paper, we present an integral equation approach for the valuation of American-style installm...
We present three approaches to value American continuous-installment options written on assets witho...
We present three approaches to value American continuous-installment calls and puts and compare thei...
AbstractThis paper is concerned with the valuation of European continuous-installment options where ...
This paper is concerned with the valuation of European continuous-installment options where the aim ...
In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform in...
In this paper we present an integral equation approach for the valuation of European-style installme...
Abstract. In this work, we propose to price Parisian options using Laplace transforms. Not only do w...
In this paper we present an integral equation approach for the valuation of European-style installme...
Installment options are Bermudan-style options where the holder period-ically decides whether to exe...
Laplace transform method (LTM) has a lot of applications in the evaluation of European-style options...
ABSTRACT: Solving the Black-Scholes PDE of the arithmetic Asian options is one of the most difficult...
In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformati...
Mestrado em Matemática FinanceiraInstallment options are financial derivatives in which part of the ...
This paper derives accurate and efficient analytic approximations for the prices of both European an...
In this paper, we present an integral equation approach for the valuation of American-style installm...
We present three approaches to value American continuous-installment options written on assets witho...
We present three approaches to value American continuous-installment calls and puts and compare thei...
AbstractThis paper is concerned with the valuation of European continuous-installment options where ...
This paper is concerned with the valuation of European continuous-installment options where the aim ...
In this paper, we investigate two numerical methods for pricing Asian options: Laplace transform in...
In this paper we present an integral equation approach for the valuation of European-style installme...
Abstract. In this work, we propose to price Parisian options using Laplace transforms. Not only do w...
In this paper we present an integral equation approach for the valuation of European-style installme...
Installment options are Bermudan-style options where the holder period-ically decides whether to exe...
Laplace transform method (LTM) has a lot of applications in the evaluation of European-style options...
ABSTRACT: Solving the Black-Scholes PDE of the arithmetic Asian options is one of the most difficult...