Generalized finite integration method with Laplace transform for European option pricing under Black-Scholes and Heston models

DOI10.1016/j.enganabound.2024.105751MaRDI QIDQ6577989

Y. Ma, Chuanzhu Shi, Benny Y. C. Hon

Publication date: 24 July 2024

Published in: Engineering Analysis with Boundary Elements (Search for Journal in Brave)

zbMATH Keywords

Laplace transformoption pricingBlack-Scholes modelHeston modelgeneralized finite integration method

Mathematics Subject Classification ID

Partial differential equations (35-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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