Volume 3, Issue 2
Efficient Numerical Valuation of Continuous Installment Options

Anton Mezentsev ,  Anton Pomelnikov and Matthias Ehrhardt

10.4208/aamm.10-m1025

Adv. Appl. Math. Mech., 3 (2011), pp. 141-164.

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  • Abstract

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.

  • History

Published online: 2011-03

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