Numerical options models without programming

The authors describe the automatic generation of finite difference codes for solving the Black-Scholes and related equations for option valuation using the SCINAPSE software synthesis system. Analysts can specify codes at a very high level that mirrors the mathematical description of the problem. A typical option pricing specification occupies less than a half page. From such concise input, the system automatically generates validated, documented codes of several hundred lines of either C or Fortran in minutes, codes of several thousand lines in about an hour.