Pricing parisian options

[AllalB]

Hello everyone,

I'm a student and i'm trying to implement a pricer for parisian options in C++ using inversion of Laplace transform. My problem is that i have no idea how to inverse Laplace transforms in C++. I've tried to implement Stehfest's method but with no success. Someone have an idea ?? Thanks a lot for your help

 

[Daniel Duffy]

The inverse of LT is called the Bromwich integral and is quite a challenge, numerically.

Have you considered using PDE method? in the variables (S, t, tau) where tau is the length of time that the asset has been beyond the barrier.

See Paul Wilmott on QF, Volume 2.

 

[Daniel Duffy]

BTW I did a random google!
http://www.cs.hs-rm.de/~weber/lapinv/gavsteh/gavsteh.htm

"I've tried to implement Stehfest's method but with no success"

What was the problem?