American option price using Andersen's method []

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American option price using Andersen's method
Submitter: vanna	Date: 2008/8/9

Description: Calculates option price using Andersen's method in the GSL C++ framework. Reuslts can be compared by setting same parameters to CRR Tree or LSM Method Got a question or problem with this link? Just enter your message and click on submit. No registration is required. Note: A copy of this message will also be emailed to the submitter of this link
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