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).

Install the latest version of this package by entering the following in R:
install.packages("OptHedging")
AuthorBruno Remillard
Date of publication2013-10-11 18:00:57
MaintainerBruno Remillard <bruno.remillard@hec.ca>
LicenseGPL (>= 2)
Version1.0
http://www.r-project.org
http://www.brunoremillard.com

View on CRAN

Files

src
src/hedging_iid_R.c
NAMESPACE
R
R/interpol1d.R R/hedging.iid.R
MD5
DESCRIPTION
man
man/interpol1d.Rd man/hedging.iid.Rd
INDEX

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