Hi , I am writing some code to evaluate a price of an option with heston model. My problem is that i need one variable to be generic . Hestonf = function(phi,kappa,theta,sigma,rho,v0,r,T,s0,type) { if (type == 1) { u = 0.5; b = kappa-rho*sigma; } else { u = 0.5; b = kappa; } a = kappa * theta; x = log(s0); d = sqrt((rho*sigma*phi* complex(1,0,1)-b)^2-sigma^2*(2*u*phi*complex(1,0,1)^2)); g = (b-rho*sigma*phi*complex(1,0,1)+d)/(b-rho*sigma*phi*complex(1,0,1)-d); C = r*phi*complex(1,0,1)*T + a/sigma^2*((b-rho*sigma*phi*complex(1,0,1)+d)-2*log((1-g*exp(d*T))/(1-g))); D (b-rho*sigma*phi*complex(1,0,1)+d)/(sigma^2)*((1-exp(d*T))/(1-g*exp(d*T))); f = exp((C+D*v0 + complex(1,0,1)*phi*x)); this code here constructs the function to be integrated . My problem is that i need phi to be a generic variable ir order to integrate it in a interval HestonIntegralP = function (phi,kappa,theta,sigma,rho,V0,r,T,so,K,type) { ret Re(exp(-complex(1,0,1)*phi*log(K))*Hestonf(phi,kappa,theta,sigma,rho,v0,r,T,s0,type)/(complex(1,0,1)*phi)); ret } this code is the final function to integrate. After this just need to use some numerical tecnic integration to obtain my needed results. In sum i need to construct a function and integrate in order to phi generic variable. Sorry for the newbie question but i already have tried almost everything -- View this message in context: http://r.789695.n4.nabble.com/Problem-with-integration-on-Heston-model-tp4571628p4571628.html Sent from the R help mailing list archive at Nabble.com.