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OptHedging: Estimation of value and hedging strategy of call and put options.
Estimation of value and hedging strategy of call and put options, based on optimal hedging and Monte Carlo method, from Chapter 3 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).
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Package details |
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| Author | Bruno Remillard |
| Maintainer | Bruno Remillard <bruno.remillard@hec.ca> |
| License | GPL (>= 2) |
| Version | 1.0 |
| URL | http://www.r-project.org http://www.brunoremillard.com |
| Package repository | View on CRAN |
| Installation |
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