Serving the Quantitative Finance Community

Search found 1 match

by Awadec
September 12th, 2006, 1:13 pm
Forum: Technical Forum
Topic: Numerical Integral problem for “Volatile Volatility” and “Time to Smile”
Replies: 1
Views: 93930

Numerical Integral problem for “Volatile Volatility” and “Time to Smile”

<t>Hi JacckerI had the same problem as you too. In my implementation, i didn't solve the Riccati's like you, instead using 4th order Runge-Kutta.I suspect's there's a typo in the original paper. In Eq (4) of your attached doc, try changing the negative 0.5 inside H(..)to positive. That should do the...