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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.
Package details |
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Author | Haoran Zhang |
Maintainer | Haoran Zhang <hzz0017@auburn.edu> |
License | GPL (>= 2) |
Version | 0.1.1 |
Package repository | View on CRAN |
Installation |
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