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.

Package details

AuthorKemal Dingec, Wolfgang Hormann
MaintainerWolfgang Hormann <[email protected]>
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 2, 2019, 6:48 a.m.