http://code.activestate.com/recipes/tags/mpmath/2013-12-27T05:10:12-08:00ActiveState Code Recipes2013-12-27T05:10:12-08:00Pawel Olejnikhttp://code.activestate.com/recipes/users/4188852/http://code.activestate.com/recipes/578799-numerical-inversion-of-the-laplace-transform-with-/

<p style="color: grey"> Python recipe 578799 by <a href="/recipes/users/4188852/">Pawel Olejnik</a> (<a href="/recipes/tags/analysis/">analysis</a>, <a href="/recipes/tags/mpmath/">mpmath</a>, <a href="/recipes/tags/numerical/">numerical</a>). </p> <p>This Recipe is a variant of <a href="http://code.activestate.com/recipes/576934/">recipe 576934</a>: Numerical Inversion of the Laplace Transform using the Talbot method by Fernando Damian Nieuwveldt adapted to high precision mpmath</p>

2009-10-27T01:48:22-07:00Dieter Kadelkahttp://code.activestate.com/recipes/users/4172107/http://code.activestate.com/recipes/576938-numerical-inversion-of-the-laplace-transform-with-/

<p style="color: grey"> Python recipe 576938 by <a href="/recipes/users/4172107/">Dieter Kadelka</a> (<a href="/recipes/tags/analysis/">analysis</a>, <a href="/recipes/tags/mpmath/">mpmath</a>, <a href="/recipes/tags/numerical/">numerical</a>). </p> <p>This Recipe is a variant of <a href="http://code.activestate.com/recipes/576934/">recipe 576934</a>: Numerical Inversion of the Laplace Transform using the Talbot method by Fernando Damian Nieuwveldt adapted to high precision mpmath</p>

2009-11-13T01:28:24-08:00Fernando Nieuwveldthttp://code.activestate.com/recipes/users/4172088/http://code.activestate.com/recipes/576954-pricing-asian-options-using-mpmath/

<p style="color: grey"> Python recipe 576954 by <a href="/recipes/users/4172088/">Fernando Nieuwveldt</a> (<a href="/recipes/tags/computational_finance/">computational_finance</a>, <a href="/recipes/tags/laplace/">laplace</a>, <a href="/recipes/tags/mpmath/">mpmath</a>). </p> <p>I present a numerical method for pricing Asian options. The method is based on the numerical inversion of the Laplace transform. The inversion method that is used is based on Talbot contours. It is known that Geman and Yor's formula is computational expensive for low volatility cases. By using Talbots method we can reduce the timing for the low volatility cases, at least to \sigma ~ 0.05. Afterwards the method start to converge slowly. In the literature for \sigma = 0.1 the Geman and Yor formula converges slowly.</p>

2009-11-24T01:20:56-08:00Dieter Kadelkahttp://code.activestate.com/recipes/users/4172107/http://code.activestate.com/recipes/576964-pricing-asian-options-using-mpmath-with-automatic-/

<p style="color: grey"> Python recipe 576964 by <a href="/recipes/users/4172107/">Dieter Kadelka</a> (<a href="/recipes/tags/computational_finance/">computational_finance</a>, <a href="/recipes/tags/laplace_inversion/">laplace_inversion</a>, <a href="/recipes/tags/mpmath/">mpmath</a>). </p> <p>In <a href="http://code.activestate.com/recipes/576954/">Recipe 576954</a> presented a numerical method for pricing Asian options using mpmath and some code from <a href="http://code.activestate.com/recipes/576938/">Recipe 576938</a>: Numerical Inversion of the Laplace Transform with mpmath. The code in <a href="http://code.activestate.com/recipes/576954/">Recipe 576954</a> seems to have problems with the precision required for accurate computation of the integrals. To solve this problem, I changed the code in <a href="http://code.activestate.com/recipes/576938/">Recipe 576938</a> and the code in <a href="http://code.activestate.com/recipes/576954/">Recipe 576954</a>, which now uses mp_laplace.py.</p> <p>The new mp_laplace.py and asian.py are in the code section.</p>