Re: Fast pricer for American options
- To: mathgroup at smc.vnet.net
- Subject: [mg110926] Re: Fast pricer for American options
- From: "Jon Harrop" <usenet at ffconsultancy.com>
- Date: Mon, 12 Jul 2010 01:03:59 -0400 (EDT)
- References: <i199cf$q3i$1@smc.vnet.net>
I have optimized the code and reposted the new version here: http://fsharpnews.blogspot.com/2010/07/f-vs-mathematica-even-faster-pricer-for.html "Jon Harrop" <usenet at ffconsultancy.com> wrote in message news:i199cf$q3i$1 at smc.vnet.net... > 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 > >