Work

Evaluations of European options and stop-loss premiums via the Laplace transform inversion

Year: 2026

Type: article

Abstract: In this work, a unified approach for evaluating the European Put and Call options as well as the Barrier options from exponential moments, the moment recovered-Laplace transform (MR-LT) inversion method is introduced. (see also [24] and [25]). In addition, the insurance stop-loss premium and the bivariate probability density function and corresponding tail distribution of aggregate claims are approximated. Several examples are considered to illustrate the accuracy of newly defined approximations.

Source: Journal of Inverse and Ill-Posed Problems

DOI: 10.1515/jiip-2025-0051

Authors: Adetokunbo I. Fadahunsi, Robert M. Mnatsakanov, Omar Purtukhia

Institutions: George Mason University, Tbilisi State University, West Virginia University

Language: English

Topic: Probability and Risk Models

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: hybrid

Estimated APC paid: $2,712

OpenAlex ID: W7125119097

FWCI:

Cites: 25

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