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).

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

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Files in this package

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

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