A Laplace Transform Approach for Pricing European Options

DOI10.1007/978-81-322-2485-3_37zbMath1336.91085OpenAlexW2402537818MaRDI QIDQ2801933

Edgard Ngounda, Kailash C. Patidar

Publication date: 22 April 2016

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-81-322-2485-3_37

zbMATH Keywords

option pricingcontour integralsspectral methodsexponential time differencing Runge-Kutta methods

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Spectral, collocation and related methods for boundary value problems involving PDEs (65N35) Derivative securities (option pricing, hedging, etc.) (91G20) Numerical methods for integral transforms (65R10)

Uses Software

• Matlab
• Ode15s
• Differentiation Matrix Suite

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Contour integral method for European options with jumps
• On the natural solution of an impulsive fractional differential equation of order \(q\in (1,2)\)
• Numerical pricing of options using high-order compact finite difference schemes
• Exponential time integration and Chebychev discretisation schemes for fast pricing of options
• A constructive approach to cubic Hermite fractal interpolation function and its constrained aspects
• Parabolic and hyperbolic contours for computing the Bromwich integral
• The Accurate Numerical Inversion of Laplace Transforms
• Generation of Pseudospectral Differentiation Matrices I
• Spectral Methods in MATLAB

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