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