February 20th, 2019, 11:29 pm
Thanks for the report. My results for the second case are less trustworthy. In both cases there is a Fourier integral that needs a cutoff. In the first case, I was able to give it to Mathematica with the cutoff literally set to Infinity, a built-in symbol. In the second, that didn't work, and I had to use a finite cutoff that I keep increasing (maybe by a factor of 10 each time, don't recall), until the results stopped changing.
Whatever number of digits you're able to finally agree with, I'll update my blog entry and mention that number, so I appreciate the report.
BTW, just to be clear, let's consider the last entry, the OTM call with strike = 110. When you say your error is ~ 10^(-13), do you mean absolute or relative? (AccuracyGoal or PrecisionGoal in Mathematica). In other words, since my answer comes with a 10^(-13), you confirm just the first couple digits of that one or do you match ~13 significant digits of it?
Now that I think about it, in that corrupted thread, mj mentioned agreement to "6 decimal places". This now seems ambiguous to me --- he may have just gotten 0 for the example in question. If so, even a couple good digits agreement may be a major advance!