Compute the definite integral of a built-in function over [a, b] using various quadrature methods. Supports trapezoid rule, Simpson’s rule (more accurate for smooth functions), Gauss-Legendre quadrature (optimal for polynomials), Romberg integration (adaptive Richardson extrapolation), and adaptive quadrature (automatic error control). Essential for probability calculations, pricing path-dependent options, and computing expectations.
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Built-in function to integrate
exp, log, sin, cos, sqrt, tan, x2, x3 "exp"
Lower integration bound
0
Upper integration bound
1
Integration method to use
trapezoid, simpson, gauss_legendre, romberg, adaptive "simpson"
Number of intervals/points (for trapezoid, simpson, gauss_legendre methods)
100