European option pricing - Maple Application Center
Application Center Applications European option pricing

European option pricing

: David Pintur
Engineering software solutions from Maplesoft
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In the financial marketplace, a distinct competitive advantage can be gained by offering clients innovative products, for example, options on foreign currencies or two year futures on gold. The ability to offer hedging products that are simple to the client, but complex in its underlying structure (for example, a combination of exotic options with zero premium) require custom solutions. When the options are proprietary, a commercial off-the-shelf solution cannot be found due to the latter's inherent limitations and assumptions. Without advanced modeling tools like Maple, traditional model development is slow, arduous and time-consuming. Pages and pages of equations need to be worked through from published papers, models developed and then debugged. Furthermore, the models need to be fully documented to satisfy the requirements of the auditors and risk managers.

Application Details

Publish Date: June 19, 2001
Created In: Maple 9.5
Language: English



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