Numerical integration of complex Functions in c

mucki · March 15th, 2004, 9:41 am

Hi there,I am looking for a function/methodology for the numerical integration of functions with complex numbers in c / c++ (like for instance in the heston model).Can somebody point me towards a web site or an article?Thanks a lot in advance

hotone · March 15th, 2004, 8:01 pm

I didn't look for wen site, but check Laplace Transform, Fast Fourrier Transform and Gauss-Laguerre transform (or Gauss-Legendre, I don't remember the name), it might help

Zed · March 16th, 2004, 8:51 am

Quadrature methods (e.g. Gauss-Laguerre) work fine for complex integrals.