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

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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).

Author
Bruno Remillard
Date of publication
2013-10-11 18:00:57
Maintainer
Bruno Remillard <bruno.remillard@hec.ca>
License
GPL (>= 2)
Version
1.0
URLs

View on CRAN

Man pages

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

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