• C++ Programming for Financial Engineering
    Highly recommended by thousands of MFE students. Covers essential C++ topics with applications to financial engineering. Learn more Join!
    Python for Finance with Intro to Data Science
    Gain practical understanding of Python to read, understand, and write professional Python code for your first day on the job. Learn more Join!
    An Intuition-Based Options Primer for FE
    Ideal for entry level positions interviews and graduate studies, specializing in options trading arbitrage and options valuation models. Learn more Join!

How to compute this integral numerically ?

Joined
10/5/11
Messages
23
Points
11
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: 75
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 )
 
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?
 
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.
 
Back
Top