Issue No.06 - November/December (1999 vol.1)
DOI Bookmark: http://doi.ieeecomputersociety.org/10.1109/5992.805136
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.
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