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