Re: double integral

*To*: mathgroup at smc.vnet.net*Subject*: [mg33824] Re: double integral*From*: "Dugmore Biyana" <DBiyana at btech.tktech.ac.za>*Date*: Fri, 19 Apr 2002 02:27:48 -0400 (EDT)*Organization*: Eastern Cape Technikon*Sender*: owner-wri-mathgroup at wolfram.com

Hi Mathgroup! I am trying to compute a double integral of the form: Integral[(P-K)/(P^(- 1.5)*I(n^2+(1/4))(T/2))*Cos[Log[P]*n/(2*Pi),{n,K,infinity},{P,- infinity,infinity}] where I(x)=Exp[N+M*nu*(x/T) with N=(2*a*m)*Log[2*b*Exp[(a-b)*(T/2)]/g]/(c^2) M=-2*(1-Exp[-b*T])/g g=2*b + (a-b)*(1-Exp[-b*T]) b=Sqrt[(a^2+2*(x/T)*c^2] The following parameters can be used a=4, T=0.5, c=.4,m=nu=0.09,K=100 This problem arises in the evaluation of options under stochastic volatility. Regards Dug Biyana Eastern Cape Technikon South Africa