A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
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Publication:5247114
DOI10.1214/12-SSY094zbMath1310.44002OpenAlexW2041764913MaRDI QIDQ5247114
Publication date: 23 April 2015
Full work available at URL: https://projecteuclid.org/euclid.ssy/1427462421
option pricingtruncation errorsexotic optionscomputable error boundsdiscretization errorstwo-sided Laplace transformsEuler inversiontwo-dimensional Laplace inversion
Numerical methods (including Monte Carlo methods) (91G60) Derivative securities (option pricing, hedging, etc.) (91G20) Laplace transform (44A10)
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