Implementing Numerical Option Pricing Models

Simon Benninga, Raz Steinmetz and John Stroughair

Rodney L. White Center for Financial Research Working Papers from Wharton School Rodney L. White Center for Financial Research

Abstract: We develop routines in Mathematica for pricing various European and American options using the binary option model and Monte Carlo methods. As might be expected, Mathematica permits parsimonious programming of the option pricing expressions.

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Persistent link: https://EconPapers.repec.org/RePEc:fth:pennfi:11-93

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