http://code.activestate.com/recipes/users/4172107/2009-11-24T01:20:56-08:00ActiveState Code Recipes2009-10-27T01:48:22-07:00Dieter 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>

2009-11-24T01:20:56-08:00Dieter 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>