C++ code

stanimir · November 21st, 2002, 4:05 pm

Hi,I am looking for a C++ code implementing a numerical procedures for solving different option models.Can anybody provide a link to a resource or a book that can help me out.Thanks a lot

Keanu · November 21st, 2002, 4:36 pm

The libary of Bernt Arne Ødegaard is a good starting pointhttp://finance.bi.no/~bernt/Checkout also: http://www.quantlib.org/