Generalized Finite Integration Method with Laplace Transform for European Option Pricing under Black-Scholes and Heston Models

Research output: Journal Publications and Reviews › RGC 21 - Publication in refereed journal › peer-review

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Mathematics

Option Pricing Mathematics

Black-Scholes Model Mathematics

Laplace Transform Mathematics

Heston Model Mathematics

Derivatives Mathematics

Time Step Mathematics

Option Price Mathematics

Algorithm Mathematics

Efficiency Mathematics

Boundary Condition Mathematics

Keyphrases

Laplace Transform Keyphrases

Black-Scholes Model Keyphrases

Finite Integration ... Keyphrases

Heston Model Keyphrases

European Option Pri... Keyphrases

Two Dimensional Keyphrases

Governing Equation Keyphrases

Black-Scholes Equat... Keyphrases

Option Price Keyphrases

Option Pricing Mode... Keyphrases

Numerical Inversion... Keyphrases

Laplace Transform M... Keyphrases

Heston Keyphrases

Inversion Algorithm Keyphrases

Pricing Options Keyphrases

Temporal Derivative... Keyphrases

INIS

laplace transformat... INIS

algorithms INIS

verification INIS

efficiency INIS

one-dimensional cal... INIS

boundary conditions INIS

time dependence INIS

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