Laplace transformation method for the Black-Scholes equation

zbMath1267.91081arXiv0901.4604MaRDI QIDQ4913885

Dongwoo Sheen, Hyoseop Lee

Publication date: 17 April 2013

Full work available at URL: https://arxiv.org/abs/0901.4604

zbMATH Keywords

derivativeoptionLaplace inversionjump-diffusion

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)

Related Items (2)

Convergence analysis of iterative Laplace transform methods for the coupled PDEs from regime-switching option pricing ⋮ Fast Laplace transform methods for free-boundary problems of fractional diffusion equations

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