Efficient Numerical Valuation of Continuous Installment Options

作     者：Anton Mezentsev Anton Pomelnikov Matthias Ehrhardt 

作者机构：IDEHalmstad UniversityBox 82330118HalmstadSweden Lehrstuhl fur Angewandte Mathematik und Numerische AnalysisFachbereich C-Mathematik und NaturwissenschaftenBergische Universitat WuppertalGaußstr.2042119 WuppertalGermany 

出 版 物：《Advances in Applied Mathematics and Mechanics》 (应用数学与力学进展（英文）)

年 卷 期：2011年第3卷第2期

页      面：141-164页

核心收录：

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Installment options Black-Scholes equation numerical inverse Laplace transform Gaver-Stehfest method Euler summation method optimal stopping problem non-monotonic stopping boundary 

摘      要：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 *** 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.