TY - JOUR
T1 - Efficient Numerical Valuation of Continuous Installment Options
AU - Mezentsev , Anton
AU - Pomelnikov , Anton
AU - Ehrhardt , Matthias
JO - Advances in Applied Mathematics and Mechanics
VL - 2
SP - 141
EP - 164
PY - 2011
DA - 2011/03
SN - 3
DO - http://doi.org/10.4208/aamm.10-m1025
UR - https://global-sci.org/intro/article_detail/aamm/162.html
KW - 
AB - <p style="text-align: justify;">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.</p>