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MathGroup Archive 2010

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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 



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