Search Results - subject:"Gaver–Stehfest method"

METHOD OF PAIRED CONTOURS AND PRICING BARRIER OPTIONS AND CDSs OF LONG MATURITIES

LEVENDORSKIĬ, SERGEI - In: International Journal of Theoretical and Applied … 17 (2014) 05, pp. 1450033-1

For prices of options with barrier and lookback features, defaultable bonds and credit default swaps (CDSs), and probability distribution functions in Lévy models, as well as for joint probability distributions of a Lévy process and its supremum or/and infimum, one can derive explicit...

Persistent link: https://www.econbiz.de/10011011293

Method of paired contours and pricing barrier options and CDSs of long maturities

Levendorskij, Sergej Z. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-58

Persistent link: https://www.econbiz.de/10010437194

ALTERNATIVE RANDOMIZATION FOR VALUING AMERICAN OPTIONS

KIMURA, TOSHIKAZU - In: Asia-Pacific Journal of Operational Research (APJOR) 27 (2010) 02, pp. 167-187

formulas for the Canadian option; (ii) to interpret the Gaver–Stehfest method developed for inverting Laplace transforms as an … method in details with theoretical and numerical views. Numerical experiments indicate that the Gaver–Stehfest method works … alternative randomization method in the context of valuing American options; and (iii) to evaluate the performance of the Gaver–Stehfest …

Persistent link: https://www.econbiz.de/10008464901