• IMPLEMENTING OPTION PRICING MO...

Treffer: IMPLEMENTING OPTION PRICING MODELS USING PYTHON AND CYTHON.

Title:
IMPLEMENTING OPTION PRICING MODELS USING PYTHON AND CYTHON.
Authors:
Dasa, Sanjiv R.1, Granger, Brian2
Source:
Journal of Investment Management. 2010 4th Quarter, Vol. 8 Issue 4, p73-84. 12p.
Subject Terms:
*PRICING, *PROGRAMMING languages, *COMPUTER software development, *FINANCIAL engineering, *COMPUTER software, COMPILERS (Computer programs)
Database:
Business Source Premier

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The article focuses on the approach used to implement option pricing models in finance. It states that the software development processes and the programs are the areas in computing that financial engineering needs to be fast. It says that the Python programming language and the Cython compiler are used to improve the technical software. Furthermore, it discusses the power of the programming language and the compiler in a binomial tree option pricing model.