How to compute this integral numerically ?

Nguyen

Dear guys,

working on option pricing problems, I have come up with one integral ( details see the function h(x) on the attached file) that I find a lot of difficulties to compute . It would be great if you could have a look and give me some ideas on it.

Thanks,

Attachments

• v11.pdf
95.8 KB · Views: 74

Alexei

Trapezoidal rule?

Nguyen

Thanks but I don't think it work

Lyosha

Psychic in Training
Monte Carlo in that case?

Nguyen

Dear Alex

since the upper/lower limits of the integrals are not constant so Monte carlo cannot be applied ( I should say it is very hard to apply )

Alexei

How about reduction to an initial value problem for an ODE and then solving a problem on a new domain using a Runge–Kutta type method?

nickaelwen

Hey, why not just using rectangal approximation using mid-point or lower-point? I don't see any problem, since most variables are given, so you just need to calculate each integral using rectangle approximation starting from the very inside one. But since X is random variable, you need to run more loops for values of X and then take average.

Replies
1
Views
951
Replies
7
Views
1K
Replies
0
Views
2K
Replies
7
Views
903
Replies
2
Views
712