Nothing
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
Browse package contents
Package details |
|
|---|---|
| Author | Haoran Zhang |
| Maintainer | Haoran Zhang <hzz0017@auburn.edu> |
| License | GPL (>= 2) |
| Version | 0.1.1 |
| Package repository | View 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.
