Performance of Gahver-Stehfest Numerical Laplace Inversion Method on Option Pricing Formulas
| Main Authors: | Putri, Endah Rokhmati Merdika; Departemen Matematika, Institut Teknologi Sepuluh Nopember, Surjanto, Sentot Didik; Departemen Matematika, Institut Teknologi Sepuluh Nopember |
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| Format: | Article info application/pdf eJournal |
| Bahasa: | eng |
| Terbitan: |
Institut Teknologi Sepuluh Nopember
, 2017
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| Subjects: | |
| Online Access: |
http://iptek.its.ac.id/index.php/ijcsam/article/view/2215 http://iptek.its.ac.id/index.php/ijcsam/article/view/2215/2215 |
Daftar Isi:
- 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.