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OptionPricing: Option Pricing with Efficient Simulation Algorithms
Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.
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Package details |
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| Author | Wolfgang Hormann [aut, cre], Kemal Dingec [aut] |
| Maintainer | Wolfgang Hormann <hormanngw@yahoo.com> |
| License | GPL-2 | GPL-3 |
| Version | 0.1.2 |
| Package repository | View on CRAN |
| Installation |
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