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Laplace transformation method for the Black-Scholes equation
Black-Scholes equation basket option Laplace inversion parallel method transparent boundary condition
2010/10/29
In this paper we apply the innovative Laplace transformation method introduced by Sheen, Sloan, and Thom´ee (IMA J. Numer. Anal., 2003)to solve the Black-Scholes equation. The algorithm is of ar...