OptionPricing: Option Pricing with Efficient Simulation Algorithms
Version 0.1

Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.

Package details

AuthorKemal Dingec, Wolfgang Hormann
Date of publication2014-11-08 17:10:10
MaintainerWolfgang Hormann <hormannw@boun.edu.tr>
LicenseGPL-2 | GPL-3
Version0.1
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("OptionPricing")

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