Thread: Symphony application for integrated stochastic variance options (IVOP)

Francesco Zirilli et al. from University of Roma developed an application to compute option pricing in finance, specifically the pricing of realized variants options using the Heston model. The core algorithm of the model is written as Symphony service, it is a Fortran program that evaluates a three dimensional integral, wrapped in C++. The client extends basic Symphony API 5.0 samples. It takes in input few parameters and it sends them to the core algorithm which returns the price of the option.

Full documentation is available on http://www.econ.univpm.it/recchioni/finance/w4
Note that the package on the site is written with Symphony API 3.0.

Package attached to this post is written in Symphony API 5.0 and tested in Linux 2.6 and glibc 2.3.4. For complete instruction on running the application, please refer to the README file in the package.