Algorithm 957

DOI10.1145/2735626zbMath1347.65052OpenAlexW2292937026WikidataQ113310255 ScholiaQ113310255MaRDI QIDQ2828172

Walter Gautschi

Publication date: 24 October 2016

Published in: ACM Transactions on Mathematical Software (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/2735626

zbMATH Keywords

MATLAB softwarehalf-range Gauss-Hermite quadraturerepeated integral of the coerror function

Mathematics Subject Classification ID

Numerical quadrature and cubature formulas (65D32) Numerical integration (65D30)

Related Items

On computing modified moments for half-range Hermite weights, Algorithm 957, Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models

Uses Software

• Matlab
• OPQ

Cites Work

• Orthogonal polynomials (in Matlab)
• Recursive Computation of the Repeated Integrals of the Error Function
• Evaluation of Repeated Integrals of the Coerror Function
• Bounds on Iterated Coerror Functions and Their Ratios
• Numerical Analysis
• Unnamed Item
• Unnamed Item