fmsoption codeplex.com

Option pricing for arbitrary distributions - Home

European option pricing with arbitrary distributions using dual numbers to calculate greeks.
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Option pricing for arbitrary distributions - Home

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European option pricing with arbitrary distributions using dual numbers to calculate greeks.

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This site had the following in the web page, "Project Hosting for Open Source Software." We observed that the web site stated " Option pricing for arbitrary distributions." It also stated " By clicking Delete, all history, comments and attachments for this page will be deleted and cannot be restored. Option pricing for arbitrary distributions. This project makes it simple to price European puts, calls, and binary options. In addition, numerically stable calculations of greeks of all orders can be computed using the fmsdual. If X is a random variable then the. S log Eexps X."

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