Richard Bellman, Robert E.Kalaba and Jo Ann Lockett. Numerical
inversion of the Laplace transform : applications to biology,
economics, engineering, and physics. Elsevier, 1966.
Please see whether these help.
H Stehfast, Numerical inversion of Laplace transforms, COMM ACM, 13,
D. Crann, A.J. Davies, C.-H. Lai, S.H. Leong. Time domain decomposition
for European options in financial modelling. Contemporary Mathematics,
218, 487-491, 1998.
C.-H. Lai, A.K. Parrott, S. Rout, and M.E. Honour. A distributed
algorithm for European options with nonlinear volatility. Computers and
Mathematics with Applications, 49, 885-894, 2005.
A.J. Davies, D. Crann, S.J. Kane, C.-H. Lai. A hybrid Laplace
transform/finite difference boundary element method for diffusion
problems. Computer Modelling in Engineering and Sciences, 18, 79 – 86,
Aleksandar Donev wrote:
> Does anyone have recommendations for publicly available inverse laplace
> transform Fortran routines? The inversion I need is not terribly difficult:
> The laplace transform has a long 1/s tail for large s though. I have never
> used numerical inversion so any pointers will be helpful. Efficiency or very
> high accuracy is not of big concern, ease of use is.
# Professor Choi-Hong LAI #
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