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Re: codes for option pricing models

  • To: mathgroup at
  • Subject: [mg29208] Re: [mg29133] codes for option pricing models
  • From: Maryvonne Teissier <my.teissier at>
  • Date: Mon, 4 Jun 2001 05:30:41 -0400 (EDT)
  • References: <>
  • Sender: owner-wri-mathgroup at


Here are  some informations, but perhaps not the ones that you want.

For two first years of University

In the good book, Projects for Calculus, by Keith D, Stroyan , Academic
Press, 1999 for the second edition ,
there are two projects on pricing, and an electronic address where one can
get the code in Mathematica,


I tried  to obtain the code, but without success. This way  was so consuming
time that  in the end I wrote  some
imperfect one for myself. If you succeed , let me know how. This would be
useful for me in the future,
because I try to personnalize the projects in Maths that I give to students,
sometimes students in economics.
By the way, perhaps, these codes must remain difficult to obtain for the

For more advanced users

If you read French, there is an excellent  small book,
Leons de Mathematica, Robert Tartarin, Vuibert, 1996,
written for economists, almost beginners in Mathematica at the beginning of
the book,
and finishing with commentaries on Packages about Economy, like the book of
Hal. R. Varian, Mathematica : Economic and Financial modeling with
Mathematica Sringer-Telos, 1993
and like some packages sold by Wolfram as, about pricing,
Technical Trader announced for 1996.

Here is the address of the author as it appears in his book,

tartarin at

May be , he knows more recent free packages in French or English.

    Maryvonne Teissier, Université of Paris 7.

Jussi Asp a *crit :

> anyone know where i can get mathematica codes for different option pricing
> models?

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