Journal of Computational Finance
ISSN:
1460-1559 (print)
1755-2850 (online)
Editor-in-chief: Christoph Reisinger
Numerical inversion of Laplace transforms: a survey of techniques with applications to derivative pricing
Mark Craddock, David Heath, and Edward Platen
Abstract
ABSTRACT
Different approaches to the problem of numerically inverting Laplace transforms in finance are considered. In particular, numerical inversion techniques in the context of Asian option pricing are discussed.
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