hh.sePublications
Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Efficient Numerical Valuation of Continuous Installment Options
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Financial Mathematics)
Halmstad University, School of Information Science, Computer and Electrical Engineering (IDE), Halmstad Embedded and Intelligent Systems Research (EIS), MPE-lab. (Finacial Mathematics)
University Wuppertal.
2011 (English)In: Advances in Applied Mathematics and Mechanics, ISSN 2070-0733, Vol. 3, no 2, 141-164 p.Article in journal (Refereed) Published
Abstract [en]

In this work we investigate the novel Kryzhnyi method for the numerical inverse Laplace transformation and apply it to the pricing problem of continuous installment options. We compare the results with the one obtained using other classical methods for the inverse Laplace transformation, like the Euler summation method or the Gaver-Stehfest method.

Place, publisher, year, edition, pages
Xiangtan, China: Global Science Press , 2011. Vol. 3, no 2, 141-164 p.
Keyword [en]
Installment options, Black-Scholes equation, numerical inverse Laplace transform, Gaver-Stehfest method, Euler summation method, optimal stopping problem, non-monotonic stopping boundary
National Category
Computational Mathematics
Identifiers
URN: urn:nbn:se:hh:diva-5537DOI: 10.4208/aamm.10-m1025ISI: 000291118300002OAI: oai:DiVA.org:hh-5537DiVA: diva2:346573
Available from: 2010-09-08 Created: 2010-09-01 Last updated: 2014-01-17Bibliographically approved

Open Access in DiVA

fulltext(345 kB)374 downloads
File information
File name FULLTEXT01.pdfFile size 345 kBChecksum SHA-512
82fb2acade4d2b4300230d153e7c4710fbdd741ce3086a37b1a0a4af407168e5ae909cfcfbc53f5ab8e85f23f6b06357150ee2ab2b8cd7fcb69e6ade2f538737
Type fulltextMimetype application/pdf

Other links

Publisher's full text

Search in DiVA

By author/editor
Mezentsev, AntonPomelnikov, Anton
By organisation
MPE-lab
In the same journal
Advances in Applied Mathematics and Mechanics
Computational Mathematics

Search outside of DiVA

GoogleGoogle Scholar
Total: 374 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

Altmetric score

Total: 207 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf