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Implementing Option-Pricing Models Using Software Synthesis
November/December 1999 (vol. 1 no. 6)
pp. 54-64
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.
Citation:
James Gatheral, Yonathan Epelbaum, Jining Han, Kishor Laud, Olga Lubovitsky, Elaine Kant, Curt Randall, "Implementing Option-Pricing Models Using Software Synthesis," Computing in Science and Engineering, vol. 1, no. 6, pp. 54-64, Nov.-Dec. 1999, doi:10.1109/5992.805136
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