Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing

We consider different approaches to the problem of numerically inverting Laplace transforms in finance. In particular, we discuss numerical inversion techniques in the context of Asian option pricing.

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Year of publication:	1999-12-01
Authors:	Craddock, Mark ; Heath, David ; Platen, Eckhard
Institutions:	Finance Discipline Group, Business School

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Series:	Research Paper Series.
Type of publication:	Book / Working Paper
Notes:	Number 27
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004984494