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Code Listing by Dieter Kadelka

Code 1-2 of 2   






In Recipe 576954 presented a numerical method for pricing Asian options using mpmath and some code from Recipe 576938: Numerical Inversion of the Laplace Transform with mpmath. The code in Recipe 576954 seems to have problems with the precision required for accurate computation of the integrals. To solve this problem, I changed the code in Recipe 576938 and the code in Recipe 576954, which now uses mp_laplace.py.

The new...



This Recipe is a variant of recipe 576934: Numerical Inversion of the Laplace Transform using the Talbot method by Fernando Damian Nieuwveldt adapted to high precision mpmath