A two-dimensional, two-sided Euler inversion algorithm with computable error bounds and its financial applications
In this paper we propose an inversion algorithm with computable error bounds for two-dimensional, two-sided Laplace transforms. The algorithm consists of two discretization parameters and two truncation parameters. Based on the computable error bounds, we can select these parameters appropriately to...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Institute for Operations Research and the Management Sciences (INFORMS)
2015-03-01
|
| Series: | Stochastic Systems |
| Subjects: | |
| Online Access: | http://www.i-journals.org/ssy/viewarticle.php?id=94&layout=abstract |