Application of MATLAB Symbolic Maths with Variable Precision Arithmetic (VPA) to Compute Some High Order Gauss Legendre Quadrature Rules

Abstract

Gauss Legendre Quadrature rules are extremely accurate and they should be considered seriously when many integrals of similar nature are to be evaluated. This paper is concerned with the derivation and computation of numerical integration rules for the three integrals:which are dependent on the zeros and the squares of the zeros of Legendre Polynomial and is quite well known in the Gaussian Quadrature theory. We have developed the necessary MATLAB programs based on symbolic maths which can compute the sampling points and the weight coefficients and are reported here upto 32 -digits accuracy and we believe that they are reported to this accuracy for the first time. The MATLAB programs appended here are based on symbolic maths. They are very sophisticated and they can compute Quadrature rules of high order, whereas one of the recent MATLAB program appearing in reference [21] can compute Gauss Legendre Quadrature rules upto order twenty, because the zeros of Legendre polynomials cannot be computed to desired accuracy by MATLAB routine roots (……..). Whereas we have used the MATLAB routine solve (……..) to find zeros of polynomials which is very efficient. This is worth noting in the present context.

Numerical aspects of integration in semi-closed option pricing formulas for stochastic volatility jump diffusion models

“…The problem of high-precision numerical integration is reviewed by Bailey and Borwein (2011). Gauss-Legendre quadratures using vpa in MATLAB was in particular studied by Rathod, Sathish, Islam, and Gali (2011). In our case, we would like to get an effective, i.e.…”