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).

Getting started

Package details

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

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OptHedging documentation built on May 29, 2017, 8:05 p.m.