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All Journal Jurnal Sains dan Seni ITS Prosiding SI MaNIs (Seminar Nasional Integrasi Matematika dan Nilai-Nilai Islami) International Journal of Computing Science and Applied Mathematics Specta Journal of Technology Sewagati
Sentot Didik Surjanto
Departemen Matematika Institut Teknologi Sepuluh Nopember Surabaya
Arts Humanities Chemical Engineering, Chemistry & Bioengineering Civil Engineering, Building, Construction & Architecture Computer Science & IT Education Electrical & Electronics Engineering Engineering Environmental Science Mathematics Social Sciences

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Journal : International Journal of Computing Science and Applied Mathematics

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Performance of Gahver-Stehfest Numerical Laplace Inversion Method on Option Pricing Formulas Endah Rokhmati Merdika Putri; Sentot Didik Surjanto
(IJCSAM) International Journal of Computing Science and Applied Mathematics Vol 3, No 2 (2017)
Publisher : Institut Teknologi Sepuluh Nopember

Show Abstract | Download Original | Original Source | Check in Google Scholar | Full PDF (205.792 KB) | DOI: 10.12962/j24775401.v3i2.2215

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.
Co-Authors Elisabeth Yeyen Setyorini Elsa Vidya Nur Rhema Endah Rokhmati Merdika Putri Erna Apriliani Kirana Damayanti Putri Hapsari Mahmudah Enny Widyaningrum Miftakhul Janah Seftia Agustina Moch. Shofwan Muslichah Erma Widiana Nuri Wahyuningsih Radisha Fanni Sianti Rista Rosdianawati Suhud Wahyudi