Zhang Analitical Asian Options

edoardobarra · July 2nd, 2003, 12:19 pm

I'm trying to use Zhang's Analytical model for Asian Option pricing (2002) but there are some problems I can't get out of...The main problem arise calculating the second order approximation function (f2 in the model).Coefficient a20 in this function seems to be bigger than expectet and I don't know if the problem is in Mathematica (I'm using mathematica 4.1 to calculate symbolic integrals) or in some typo in the paper itself...has anybody any suggestion ?thanks.

edoardobarra · July 3rd, 2003, 11:41 am

I've been working on this problem a little bit and I discovered that the error is in the way on wich Mathematica perform symbolic integration.... so the new question is:Does anybody know something about integrals in Mathematica (Assumptions , Simplify, ...), and moreover something about avoiding integration errors ?

Alan · July 3rd, 2003, 2:42 pm

If you think Mathematica has done a symbolic integral incorrectly, (which is known to happen),re-do it numerically with NIntegrate and compare vs. your first result with specific parameters.Also if you have specific questions, the Mathematica newsgroup is very helpful.Regards,alan

edoardobarra · July 4th, 2003, 7:37 am

Thank you!Doing it numerically let me discover where exactly the problem was...and now I'm searching specific help in Mathematica forum.I'll take my time debugging.Thanks.Edoardo Barra