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Aug 16

Perl Option Pricing Project

Posted by abiao at 08:00 | Code » Other | Comments(0) | Reads(7249)
Derivatives can be valued applying a mixture of statistical models. A former version of the Perl module  was utilized to produce market analysis software package. The code comprises of a Perl module incorporating routines to do option pricing and related computations.

Software documentation
For a fantabulous reference on derivative pricing, confer with Espen Gaarder Haug (1998) Option Pricing Formulas, McGraw-Hill. The routines were all deduced from the pseudocode there.

http://www.kmri.com/software/popp.html


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