DocumentCode
1269418
Title
Implementing option-pricing models using software synthesis
Author
Gatheral, James ; Epelbaum, Yonathan ; Han, Jinino ; Laud, Kishor ; Lubovitsky, Olga ; Kant, Elaine ; Randall, Guri
Volume
1
Issue
6
fYear
1999
Firstpage
54
Lastpage
64
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;
fLanguage
English
Journal_Title
Computing in Science & Engineering
Publisher
ieee
ISSN
1521-9615
Type
jour
DOI
10.1109/5992.805136
Filename
805136
Link To Document