Numerical options models without programming

Author

Randall, Curt ; Kant, Elaine

Author_Institution

SciComp Inc., Austin, TX, USA

fYear

1997

fDate

23-25 Mar 1997

Firstpage

15

Lastpage

21

Abstract

The authors describe the automatic generation of finite difference codes for solving the Black-Scholes and related equations for option valuation using the SCINAPSE software synthesis system. Analysts can specify codes at a very high level that mirrors the mathematical description of the problem. A typical option pricing specification occupies less than a half page. From such concise input, the system automatically generates validated, documented codes of several hundred lines of either C or Fortran in minutes, codes of several thousand lines in about an hour

Keywords

costing; financial data processing; finite difference methods; formal specification; Black-Scholes equations; C code; Fortran code; SCINAPSE software synthesis system; automatic finite difference code generation; code specification; documented codes; mathematical description; numerical options models; option pricing specification; option valuation; validated codes; Computer languages; Cost accounting; Difference equations; Finite difference methods; Instruments; Mirrors; Numerical models; Pricing; Productivity; Software debugging;

fLanguage

English

Publisher

ieee

Conference_Titel

Computational Intelligence for Financial Engineering (CIFEr), 1997., Proceedings of the IEEE/IAFE 1997

Conference_Location

New York City, NY

Print_ISBN

0-7803-4133-3

Type

conf

DOI

10.1109/CIFER.1997.618899

Filename

618899