CRZ Pricer Version 24.0.0

By | 20 December 2023


  • [New] Perpetual Crypto futures are supported
  • [New] Crypto futures vs another crypto are supported
  • [New] Crypto futures now support idiosyncratic adjustment


  • [New] Added deal template for equity listed options


  • [Bug] Importance sampling control variate was biased when used with LSV
Category: Modelling Pricing

About Christine Mayer

Gratuated of Ecole Centrale de Paris (1988 promotion), Christine Mayer is a former investment banking professional specialized in interest rate derivative products trading and risk management for well-known financial institutions (Société Générale, HSBC), in Paris and London.

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