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MathGroup Archive 1998

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Re: Black-Scholes and exotic options

  • To: mathgroup at smc.vnet.net
  • Subject: [mg14060] Re: Black-Scholes and exotic options
  • From: ozan at matematik.su.se (Ozan ktem)
  • Date: Fri, 18 Sep 1998 03:50:41 -0400
  • Organization: Department of Mathematics, Stockholm University
  • References: <6tbst3$mnt@smc.vnet.net>
  • Sender: owner-wri-mathgroup at wolfram.com

In article <6tbst3$mnt at smc.vnet.net>, "Michael Christen"
<michael.christen at balcab.ch> wrote:

>Does anybody has a program for Mathematica with the BS-formula and
>formulas for exotic options?
>Thanx.
>
>Michael Christen
>michael.christen at balcab.ch
For closed form solutions based on the BS-model, its simply a matter of
coding down a bunch of formulas. I don't see the need to a "published"
Mathematica package for that. However, I happend to see an annoucement in
the big 10:th aniversary conference a few moths ago about doing Stochastic
calculus with Mathematica (symbolic). Is there anything useful out there?

Ozan

-- 
Ozan ktem                  Phone : +46-8-16 49 15 Department of
Mathematics   Fax   : +46-8-612 67 17 Stockholm University       
E-mail: ozan at matematik.su.se 106 91 Stockholm, Sweden


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