Julia: High Performance Programming

A quick look at some Julia

To get flavor, look at an example that uses random numbers to price an Asian derivative on the options market.

A share option is the right to purchase a specific stock at a nominated price sometime in the future. The person granting the option is called the grantor and the person who has the benefit of the option is the beneficiary. At the time the option matures, the beneficiary may choose to exercise the option if it is in his/her interest and the grantor is then obliged to complete the contract.

In order to set up the contract, the beneficiary must pay an agreed fee to the grantor. The beneficiary's liability is therefore limited by this fee, while the grantor's liability is unlimited. The following question arises: ...