OptHedging: Estimation of value and hedging strategy of call and put options.
Version 1.0

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).

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

Popular man pages

hedging.iid: Value and optimal hedging strategy for a call or a put option...
interpol1d: Linear interpolation function.
See all...

All man pages Function index File listing

Man pages

hedging.iid: Value and optimal hedging strategy for a call or a put option...
interpol1d: Linear interpolation function.

Functions

HedgingIID Man page
hedging.iid Man page Source code
interpol1d Man page Source code
interpolation1d Man page

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
OptHedging documentation built on May 19, 2017, 6:29 p.m.

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