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