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Issue No.06 - November/December (1999 vol.1)
pp: 54-64
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.
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 & Engineering, vol.1, no. 6, pp. 54-64, November/December 1999, doi:10.1109/5992.805136
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