Algorithm 957

MaRDI QIDQ35477swMATHFDO

Official website https://dl.acm.org/citation.cfm?doid=2888419.2735626

Described by source

• Algorithm 957: Evaluation of the repeated integral of the coerror function by half-range Gauss-Hermite quadrature

Cited in

(3)

• MR3-SMP
• NDSolve
• Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models

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