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Fast Laplace transform methods for the PDE system of Parisian and Parasian option pricing |
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| Authors: | Ma Jingtang Zhou Zhiqiang |
| Institution: | 1.School of Economic Mathematics, Southwestern University of Finance and Economics, Chengdu, 611130, China ;2.School of Mathematics and Finance, Xiangnan University, Chenzhou, 423000, China ; |
| Abstract: | Science China Mathematics - This paper develops a fast Laplace transform method for solving the complex PDE system arising from Parisian and Parasian option pricing. The value functions of the... |
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