International Journal of Computing Science and Applied Mathematics
Vol 3, No 2 (2017)

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

Endah Rokhmati Merdika Putri (Departemen Matematika, Institut Teknologi Sepuluh Nopember)
Sentot Didik Surjanto (Departemen Matematika, Institut Teknologi Sepuluh Nopember)

Article Info

Publish Date
26 Aug 2017

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.

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Journal Info
International Journal of Computing Science and Applied Mathematics
Website

Abbrev

ijcsam

Publisher

Institut Teknologi Sepuluh Nopember Surabaya

Subject

Computer Science & IT Education Mathematics

Description

(IJCSAM) International Journal of Computing Science and Applied Mathematics is an open access journal publishing advanced results in the fields of computations, science and applied mathematics, as mentioned explicitly in the scope of the journal. The journal is geared towards dissemination of ...