Valuation of path-dependent options
- To: mathgroup at yoda.physics.unc.edu
- Subject: Valuation of path-dependent options
- From: BENNINGA at wharton.upenn.edu
- Date: 02 Jul 1993 08:57:49 -0500 (EST)
I have recently completed a paper on using Mathematica to value path-dependent options. This is a fairly intricate problem which goes beyond the usual Black-Scholes option pricing formulation. Anyone interested in getting a copy of the paper should send a MAILING ADDRESS to my E-mail address. Simon Benninga Finance Department Wharton School University of Pennsylvania Philadelphia, PA 19104 Tel: 215-898-9466 E-Mail: BENNINGA at WILMA.WHARTON.UPENN.EDU