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For a few basic option types under Black-Scholes you can also cross-check your results using this free option pricing application. It does vanillas, barriers (continuous and discrete monitoring) and Asians (discrete sampling) with European/Bermudan/American exercise. It has two separate engines, PDE/Finite Differences and Monte Carlo with Sobol sequences. ...


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dismissing ask (offer) data in fx makes no sense (not sure if it does anywhere else either).. you need to build your own mid-price (don't just subtract bid from offer like most do unless you run a very simple small clip-size taker model). you then take the mid-price to make your own bids / offers. not sure what you're trying to do - since you mentioned ...



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