An object-oriented framework using design patterns for numerical option pricing

MaRDI QIDQ5084053zbMATH OpenFDO

Authors Jeetendre Narsoo, Sameer Sunhaloo

Publication date 23 June 2022

Full work available at URL https://pjm.ppu.edu/sites/default/files/papers/PJM_November_2021_326_to_344.pdf

zbMATH Keywords

object-oriented programmingdesign patternsnumerical option pricing

Mathematics Subject Classification ID

Derivative securities (option pricing, hedging, etc.) (91G20) Other programming paradigms (object-oriented, sequential, concurrent, automatic, etc.) (68N19)

Recommendations

• scientific article; zbMATH DE number 1069514
• Numerical simulation for multi-asset derivatives pricing under Black-Scholes model
• \(\text{MATLAB}^\circledR\) as a tool in computational finance
• Performance optimization of financial option calculations
• An Object-Oriented Design for Dynamic Simulation Models

Cites work

• scientific article; zbMATH DE number 1006119 (Why is no real title available?)
• scientific article; zbMATH DE number 1869203 (Why is no real title available?)
• An Introduction to Financial Option Valuation
• The pricing of options and corporate liabilities

Cited in

(1)

• scientific article; zbMATH DE number 5299194 (Why is no real title available?)

Describes a project that uses

Uses Software

• Matlab

This page was built for publication: An object-oriented framework using design patterns for numerical option pricing

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5084053)