Title :
Numerical options models without programming
Author :
Randall, Curt ; Kant, Elaine
Author_Institution :
SciComp Inc., Austin, TX, USA
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;
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
DOI :
10.1109/CIFER.1997.618899
