questions on exotic option pricing algorithms

[Vic_Siqiao]

have u guys read about the book" modeling derivatives in C++" by Justin London? i am now puzzled by the codes on pricing lookback options in his book.

path-dependent options need more parameters in each node, but i just cannt understand the way he use to record the maxima or minima price, through his C++ code, and i eve doubt there may be some mistakes in his examples. i need to test his results by Matlab, although not quite convenient.

so could u guys suggest some other books about pricing algorithms on path-dependent options?

many thanks

[Andy]

We don't use Justin's book in our program. Take a look at the Fall 2006 required book lis http://www.quantnet.org/forum/showthread.php?t=145. One of them is

Implementing Derivative Models (Wiley Series in Financial Engineering)
(Hardcover) by Les Clewlow, Chris Strickland
ISBN: 0471966517

Very good book. Lot of pseudo code meaning you have the frameworks to start, unlike ready-to-run codes from Justin book.

Some of us have that Justin book and just for the record, his codes are buggy and non-compliance to say the least.

[Vic_Siqiao]

thanks andy:)

i think ive already found some mistakes in his codes.i am gonna go correct it.