[Date Index] [Thread Index] [Author Index]

Fast pricer for American options

• To: mathgroup at smc.vnet.net
• Subject: [mg110891] Fast pricer for American options
• From: "Jon Harrop" <usenet at ffconsultancy.com>
• Date: Sat, 10 Jul 2010 04:01:25 -0400 (EDT)

Interesting comparison of a finance-related function originally written in 
Mathematica (taken from Sal Mangano's new book) rewritten in another 
language:

http://fsharpnews.blogspot.com/2010/07/f-vs-mathematica-fast-pricer-for.html

-- 
Dr Jon Harrop, Flying Frog Consultancy Ltd.
http://www.ffconsultancy.com