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.

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Package details

AuthorHaoran Zhang
MaintainerHaoran Zhang <hzz0017@auburn.edu>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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BCC1997 documentation built on May 2, 2019, 11:10 a.m.