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Re: Whittaker Function


From: Robert T. Short
Subject: Re: Whittaker Function
Date: Mon, 30 Jul 2012 09:59:00 -0700
User-agent: Mozilla/5.0 (X11; Linux i686; rv:14.0) Gecko/20120713 Thunderbird/14.0

On 07/30/2012 01:05 AM, Fernando wrote:
Hi guys

Just want to add another method for evaluating the hypergeometric function.
I used it a few years ago for pricing Asian options, the Geman and Yor
formula.

Its based on the Laplace inversion and Talbot contours.

Example:
octave:1> Hypergeometric1F1(5,2,100-1000i,50)
  ans = 7.0029e+50 + 8.9738e+50i

Cheers.
Fernando

http://octave.1599824.n4.nabble.com/file/n4631895/Hypergeometric1F1.m
Hypergeometric1F1.m



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Cool. How does this compare to the series computation in terms of speed and accuracy? I assume that the real value of this method is for large arguments or some such?

I am not a numerical analyst, but special functions appear quite frequently in my work.

Bob


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