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Topic Title: Online Option Calculator
Created On Tue Jul 31, 07 10:05 PM
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vsurkov
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Posts: 2
Joined: Aug 2006

Tue Jul 31, 07 10:05 PM
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http://128.100.73.155/fst/

The Fourier Space Time-stepping (FST) calculator can be used on a wide range of options such as European, American, barrier, shout, and spread options. Stock price process dynamics can be modeled by any Levy process such as geometric Brownian motion, Merton jump-diffsuion, Kou jump-diffusion, Variance Gamma, Normal inverse Gaussian and CGMY.

The pricing engine is written in C++ and wrapped into a managed C++ DLL. The ASP.NET web interface interacts with a ASP.NET web service which in turn calls the DLL.

I've tested as much as possible for bugs but I am sure something will come up... Let me know if you encounter any.
 
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