Title :
Implementing option-pricing models using software synthesis
Author :
Gatheral, James ; Epelbaum, Yonathan ; Han, Jinino ; Laud, Kishor ; Lubovitsky, Olga ; Kant, Elaine ; Randall, Guri
Abstract :
By considering a simplified version of a pricing model recently implemented at Merrill Lynch, the authors demonstrate the power of software synthesis technology and examine some of the issues associated with integrating synthesized model code into a production system
Keywords :
commodity trading; costing; financial data processing; option-pricing models; software synthesis; synthesized model code; Costs; Globalization; Instruments; Investments; Mathematical model; Portfolios; Power system modeling; Pricing; Production systems; Security;
Journal_Title :
Computing in Science & Engineering
DOI :
10.1109/5992.805136
