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Berg-Koppelaar Quadrature

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created by: Thijs van den Berg (http://www.sitmo.com)
Berg-Koppelaar Quadrature equation

The Berg-Koppelaar quadrature is based on the use of an optimally chosen polynomial to approximate the expected payoff -the theoretical value- of a derivative in a Black & Scholes world. It has an error of order 2n, and is exact for function f(x) that are polynomials order order 2n-1.

List of symbols

The function that is integrated
Weights
Point (abscissae)
n Number op points

Related Equations

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