Performance of some numerical Laplace inversion methods on American put option formula

Numerical inversion approaches of Laplace transform is used to obtain a semianalytic solution. Some of the mathematical inversion methods such as Durbin-Crump, Widder, and Papoulis can be used to calculate American put options through the optimal exercise price in the Laplace space. The comparison of methods on some simple functions is aimed to know the accuracy and parameters which used in the calculation of American put options. The result obtained is the performance of each method regarding accuracy and computational speed. The Durbin-Crump method has an average error relative of 2.006e-004 with computational speed of 0.04871 seconds, the Widder method has an average error relative of 0.0048 with computational speed of 3.100181 seconds, and the Papoulis method has an average error relative of 9.8558e-004 with computational speed of 0.020793 seconds.