Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing

Mark Craddock, David Heath and Eckhard Platen ()
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Mark Craddock: School of Mathematical and Physical Sciences, University of Technology Sydney

No 27, Research Paper Series from Quantitative Finance Research Centre, University of Technology, Sydney

Abstract: We consider different approaches to the problem of numerically inverting Laplace transforms in finance. In particular, we discuss numerical inversion techniques in the context of Asian option pricing.

Date: 1999-12-01
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Published as: Craddock, M., Heath, D. and Platen, E., 2000, "Numerical Inversion of Laplace Transforms: A Survey of Techniques with Applications to Derivative Pricing", Journal of Computational Financxe, 4(1), 57-81.

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Persistent link: https://EconPapers.repec.org/RePEc:uts:rpaper:27

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