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.
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.