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MathGroup Archive 2002

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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



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