Performance of Gahver-Stehfest Numerical Laplace Inversion Method on Option Pricing Formulas

Endah Rokhmati Merdika Putri, Sentot Didik Surjanto

Abstract


In this paper we study the performance of Gahver-Stehfest numerical Laplace inversion method. The method is applied to some simple functions which have analytical Laplace inversion and the option pricing formulas which their analytical inversions are not available. The accuracy and efficiency of the methods for each functions are presented.

Keywords


American call option; Laplace transform; numerical inversion; optimal exercise price

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References


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DOI: http://dx.doi.org/10.12962/j24775401.v3i2.2215

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International Journal of Computing Science and Applied Mathematics by Department Mathematics ITS is licensed under a Creative Commons Attribution-ShareAlike 4.0 International License.
Based on a work at http://iptek.its.ac.id/index.php/ijcsam.