Algorithm 957: Evaluation of the repeated integral of the coerror function by half-range Gauss-Hermite quadrature. Nonstandard Gaussian quadrature is applied to evaluate the repeated integral i n erfcx of the coerror function for n∈ℕ 0 , x∈ℝ in an appropriate domain of the (n,x)-plane. Relevant software in MATLAB is provided: in particular, two routines evaluating the function to an accuracy of 12 respective 30-decimal digits.
Keywords for this software
References in zbMATH (referenced in 2 articles , 1 standard article )
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- Daněk, Josef; Pospíšil, Jan: Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models (2020)
- Gautschi, Walter: Algorithm 957: Evaluation of the repeated integral of the coerror function by half-range Gauss-Hermite quadrature (2016)