Gauss-Kronrod integration
Posted by
Niels Elken Sønderby on
Apr 16, 2003; 2:35pm
URL: http://quantlib.414.s1.nabble.com/Gauss-Kronrod-integration-tp2483.html
Hi QuantLib-users!
Thanks to Marco and Luigi for their encouragements! (Now two weeks ago...)
Now I got so far that I have implemented a more efficient integration
algorithm called Gauss-Kronrod. This gives better accuracy with fewer
function evaluations. If you are interested have a look at my home page:
http://www.nielses.dk/quantlib/nesquant/My next step is to implement the option pricing formula in a model with
stochastic volatility and jumps as presented in the Bates (1996) article:
http://rfs.oupjournals.org/cgi/content/abstract/9/1/69Cheers... Niels