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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
>
> 



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