BCC1997: Calculation of Option Prices Based on a Universal Solution

Calculates the prices of European options based on the universal solution provided by Bakshi, Cao and Chen (1997) <doi:10.1111/j.1540-6261.1997.tb02749.x>. This solution considers stochastic volatility, stochastic interest and random jumps. Please cite their work if this package is used.

Getting started

Package details

AuthorHaoran Zhang
MaintainerHaoran Zhang <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the BCC1997 package in your browser

Any scripts or data that you put into this service are public.

BCC1997 documentation built on May 30, 2017, 2:38 a.m.