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Automatic generation of software components for real options modelling

Alexandros Chortaras, Moustafa Ghanem, Yike Guo, Oliver Bunnin

Conference or Workshop Paper
Proceedings of the international conference on Computational methods in sciences and engineering
World Scientific
ISBN 981-238-595-9

We describe the design and implementation of a software system that, from high level specification documents, generates source code for the numerical valuation of real options. The documents allow the description of both the flexibility present in investment projects and the dynamics of the underlying stochastic variables, independently of any valuation method-specific details. By applying symbolic transformations to the specifications the system generates efficient and reusable software components, which are combined with software components that implement numerical methods in order for the final real option valuation code to be generated.

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