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.

Author
Kemal Dingec, Wolfgang Hormann
Date of publication
2014-11-08 17:10:10
Maintainer
Wolfgang Hormann <hormannw@boun.edu.tr>
License
GPL-2 | GPL-3
Version
0.1

View on CRAN

Man pages

AsianCall
Calculates the Price, Delta and Gamma of an Asian Option
AsianCall_AppLord
Asian Options - Approximation
BS_EC
Black-Scholes Formula for European Call and Put
OptionPricing-package
Option Pricing and Greeks Estimation for Asian and European...

Files in this package

OptionPricing
OptionPricing/NAMESPACE
OptionPricing/R
OptionPricing/R/Asian.AppLord.R
OptionPricing/R/BS_European.R
OptionPricing/R/AsianCall_NCV_CMC_QCV_greeks_qmc.R
OptionPricing/MD5
OptionPricing/DESCRIPTION
OptionPricing/man
OptionPricing/man/AsianCall_AppLord.Rd
OptionPricing/man/BS_EC.Rd
OptionPricing/man/OptionPricing-package.Rd
OptionPricing/man/AsianCall.Rd