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 <hormannw@boun.edu.tr>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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OptionPricing documentation built on May 2, 2019, 6:48 a.m.