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Efficient Numerical Valuation of Continuous Installment Options
Anton Mezentsev, Anton Pomelnikov, Matthias Ehrhardt
Journal:

Advances in Applied Mathematics and Mechanics / Volume 3 / Issue 2 / April 2011

Published online by Cambridge University Press:

03 June 2015, pp. 141-164

Print publication:

April 2011
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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.

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Efficient Numerical Valuation of Continuous Installment Options