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.
|Maintainer||Haoran Zhang <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on CRAN|
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