Efficient Numerical Valuation of Continuous Installment Options-Reference-Cited by-同舟云学术

Efficient Numerical Valuation of Continuous Installment Options

Published:2011-04 Issue:2 Volume:3 Page:141-164
ISSN:2070-0733
Container-title:Advances in Applied Mathematics and Mechanics
language:en
Short-container-title:Adv Appl Math Mech

Author:

Mezentsev Anton,Pomelnikov Anton,Ehrhardt Matthias

Abstract

AbstractIn 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.

Publisher

Global Science Press

Subject

Applied Mathematics,Mechanical Engineering

Reference33 articles.

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2. A dynamic programming approach to price installment options

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