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.

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

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