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Numerical Inversion of the Laplace Transform with mpmath 
File ID: 64970






Numerical Inversion of the Laplace Transform with mpmath 
Download Numerical Inversion of the Laplace Transform with mpmath http://code.activestate.com/recipes/576964-pricing-asian-options-using-mpmath-with-automatic-/?in=lang-pythonReport Error Link
License: Freeware
Downloads: 63
Submit Rating:
Numerical Inversion of the Laplace Transform with mpmath  Description
Description: 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

License: Freeware

Related: Analysis, mpmath, numerical

O/S:Windows

Downloads: 63



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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...



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Reference :
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