C++ implementation of Modified Besself Function of the Second Kind.

haZim · October 17th, 2007, 7:29 am

I am trying to implement a model and am thus in need to see if anyone has implemented the modified bessel function of the second kind WITH COMPLEX ORDER AND COMPLEX ARGUMENT in C++. All implementation that I could find on google were for real order. Does anyone have the complex argument AND complex order one? I implemented the model in Mathematica but it is impractical to use in a real world setting. Although Mathematica is very precise it is tremendously slow.

tontonkum · October 17th, 2007, 3:53 pm

Have a look at Here...I used it and even verified it worked in Abramowitz... Why do you need it for ?

tontonkum · October 17th, 2007, 3:53 pm

Heston I guess ?

haZim · October 18th, 2007, 7:45 am

I cannot find the case for complex ORDER (not argument). I do not need it for Heston...for a model that's been out for a while without a closed form (albeir it does have one).

tontonkum · October 18th, 2007, 9:23 am

Yes u're right sorry. I thought the complex order was included too...