<t>and what about the idea of using the power 4 ???SUM ( weight * ( heston_price - mid_price ) ^ 4 ) this is still an even error function with continuous derivatives but it may give more importance to prices out of the bid-ask range...QuoteOriginally posted by: quantmanAlternatively, if you want to ...

<t>about calibration I found that the most used minimization function is linear in the number of options used and parabolic in the absolute error :SUM ( weight * ( heston_price - mid_price ) ^ 2 )I think that giving error at prices within the bid-ask spread is not correct and I'm trying another mini...

INFIDEL,I still don't know the precision I need.I tried series development but I found other problems... Bad approximations or other errors make the cumated function being sometimes more than 1 (not possible!!!)

<t>JFUQUA and PPAUPER I found something to transform from frotran to c, and it seems it works nicely, the problem is that I would like to produce C++ code that can be compiled under different operating systems without external libraries.ALAN I tried your suggestion and it seems to work (the series i...

PPAUPER! That's really a Great Idea!!!The code takes only about thousands lines...Hoped someone just did it before

PPAUPER,I looked at the numerical recipes book but all I can find works only for REAL ARGUMENT. Is there any way of using those routines also for complex argument (not only of the form a*i of course)?Thanks

<t>INFIDEL,the formula you posted maps the real axis in the imaginary one.What I need is the Modified Bessel Function of the First kind computed for an ARBITRARY COMPLEX ARGUMENT (not only a pure imaginary number). For instance, if I want the function I_nu(z) for z = 1+i how can I use your suggestio...

Thanks INFIDEL and ppauper but using I_nu(z) = Exp(-i nu Pi/2) J_nu(z Exp(-i Pi/2)), as long as -Pi < arg z <= Pi/2.the problem still remains... the argument is still complex and I can't find any code for J_nu(z) as well...

<t>Hi all!Referring to Broadie&Kaya's "Exact Simulation of Stochastic volatility and Affine Jump Diffusion Processes"I'm trying to calculate a Modified Bessel Function of the First kind with real positive order and complex argument.I'm trying with C++ but I can't find the code (and to write it b...