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Option pricing for arbitrary distributions - HomeEuropean option pricing with arbitrary distributions using dual numbers to calculate greeks.
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European option pricing with arbitrary distributions using dual numbers to calculate greeks.
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European option pricing with arbitrary distributions using dual numbers to calculate greeks.
Option pricing for arbitrary distributions - License
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Project Hosting for Open Source Software. Option pricing for arbitrary distributions. Microsoft Public License (Ms-PL). Microsoft Public License (Ms-PL). This license governs use of the accompanying software. If you use the software, you accept this license. If you do not accept the license, do not use the software. A "contribution" is the original software, or any additions or changes to the software. A "contributor" is any person that distributes its contribution under this license. 2 Grant of Rights.
Option pricing for arbitrary distributions - Source Code
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Project Hosting for Open Source Software. Option pricing for arbitrary distributions. Only project members can connect to the project using TFS. Non-members may use Subversion to access the repository. To connect using Subversion. For more information on connecting to CodePlex projects using Team Foundation Server or Subversion, please see these instructions. Click an item in the panel on the left to view the contents here. Version 8.21.2015.21031.
Option pricing for arbitrary distributions - Issues
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Project Hosting for Open Source Software. Option pricing for arbitrary distributions. Mertons jump diffusion model. Added Merton76.pdf to papers. He specifies a compound Poisson process with normally distributed jumps. The model replaces Brownian motion with X(t) = B(t) sum {T j t} N j, where N j are in. Id #1577 Release: None Updated: Apr 18, 2013 at 3:09 PM. Created: Apr 18, 2013 at 12:01 AM. Are available for this page. Keep up with what's going on in this project's Issue Tracker.
Option pricing for arbitrary distributions - Change History
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Project Hosting for Open Source Software. Option pricing for arbitrary distributions. Version 8.21.2015.21031.
Option pricing for arbitrary distributions - Discussions
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Option pricing for arbitrary distributions - Home
Project Hosting for Open Source Software. Option pricing for arbitrary distributions. By clicking Delete, all history, comments and attachments for this page will be deleted and cannot be restored. Change History (all pages). 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 E[exp(s X.
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