American Call spread using Andersen's method [C++]

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American Call spread using Andersen's method
Submitter: vanna	Date: 2006/10/6

Description: Calculates call price for an American Spread option using Anersen's method. (uses Golden section method to find optimum exercise frontier) Results can be compared by setting same imput parameters in Spread Option using 3D tree 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
1420 0 bytes C++ http://www.quantcode.com/
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