Haug Haug Lewis formula

MrNutty · July 2nd, 2010, 6:57 am

Hi everyone!As a benchmark I am trying to implement the pricing function developed by Haug, Haug and Lewis in "Back to Basics" into mathematica. However I am running into trouble with the log-normal density function in the integral. Does anyone have some advice how to do it?Cheers,MN

irvingy · July 2nd, 2010, 12:10 pm

transform to standard normal density and truncate the interval to a finite range, e.g. [-6, 6]