QFRM: Pricing of Vanilla and Exotic Option Contracts

Option pricing (financial derivatives) techniques mainly following textbook 'Options, Futures and Other Derivatives', 9ed by John C.Hull, 2014. Prentice Hall. Implementations are via binomial tree option model (BOPM), Black-Scholes model, Monte Carlo simulations, etc. This package is a result of Quantitative Financial Risk Management course (STAT 449 and STAT 649) at Rice University, Houston, TX, USA, taught by Oleg Melnikov, statistics PhD student, as of Spring 2015.

Author
Oleg Melnikov [aut, cre], Max Lee [ctb], Robert Abramov [ctb], Richard Huang [ctb], Liu Tong [ctb], Jake Kornblau [ctb], Xinnan Lu [ctb], Kiryl Novikau [ctb], Tongyue Luo [ctb], Le You [ctb], Jin Chen [ctb], Chengwei Ge [ctb], Jiayao Huang [ctb], Kim Raath [ctb]
Date of publication
2015-07-28 00:48:19
Maintainer
Oleg Melnikov <XisReal@gmail.com>
License
GPL (>= 2)
Version
1.0.1
URLs

View on CRAN

Man pages

AsianBS
Asian option valuation via Black-Scholes (BS) model
AsianMC
Asian option valuation with Monte Carlo (MC) simulation.
as.OptPos
Coerce an argument to 'OptPos' class.
AverageStrikeMC
Average Strike option valuation via Monte Carlo (MC)...
BarrierBS
Barrier option pricing via Black-Scholes (BS) model
BarrierLT
Barrrier option valuation via lattice tree (LT)
BarrierMC
Barrier option valuation via Monte Carlo (MC) simulation.
Binary_BOPM
Binary option valuation vialattice tree (LT) implementation
BinaryBS
Binary option valuation with Black-Scholes (BS) model
BinaryMC
Binary option valuation via Monte-Carlo (via) simulation.
BOPM
Binomial option pricing model
BOPM_Eu
European option valuation (vectorized computation).
BS
Black-Scholes (BS) pricing model
BS_Simple
Black-Scholes formula
ChooserBS
Chooser option valuation via Black-Scholes (BS) model
ChooserLT
Chooser option valuation via Lattice Tree (LT) Model
ChooserMC
Chooser option valuation via Monte Carlo (MC) simulations
CompoundBS
Compound option valuation with Black-Scholes (BS) model
CompoundLT
Compound option valuation via lattice tree (LT) model
DeferredPaymentLT
DeferredPaymentLT
ForeignEquityBS
ForeignEquity option valuation via Black-Scholes (BS) model
ForwardStartBS
ForwardStart option valuation via Black-Scholes (BS) model
ForwardStartMC
Forward Start option valuation via Monte-Carlo (MC)...
GapBS
Gap option valuation via Black-Scholes (BS) model
GapLT
Gap option valuation via lattice tree (LT) model
GapMC
Gap option valuation via Monte Carlo (MC) simulation
HolderExtendibleBS
Holder Extendible option valuation via Black-Scholes (BS)...
is.Opt
Is an object 'Opt'?
is.OptPos
Is an object 'OptPos'?
is.OptPx
Is an object 'OptPx'?
LadderMC
Ladder option valuation via Monte Carlo (MC) simulation.
LookbackBS
Lookback option valuation with Black-Scholes (BS) model
LookbackMC
Lookback option valuation via Monte Carlo (MC) simulation
Opt
'Opt' object constructor
OptPos
'OptPos' object constructor
OptPx
'OptPx' object constructor
pbnorm
Bivariate Standard Normal CDF
PerpetualBS
Perpetual option valuation via Black-Scholes (BS) model
Profit
Computes payout/profit values
QuotientBS
Quotient option valuation via Black-Scholes (BS) model
QuotientMC
Quotient option valuation via Monte Carlo (MC) model
RainbowBS
Rainbow option valuation via Black-Scholes (BS) model
ShoutFD
Shout option valuation via finite differences (FD) method
ShoutLT
Shout option valuation via lattice tree (LT)
ShoutLTVectorized
Shout option valuation via lattice tree (LT)
ShoutMC
Shout option valuation via Monte Carlo (MC) simulations.
VarianceSwapBS
Variance Swap valuation via Black-Scholes (BS) model
VarianceSwapMC
VarianceSwap option valuation via Monte Carlo (MC)...

Files in this package

QFRM
QFRM/NAMESPACE
QFRM/R
QFRM/R/Quotient.R
QFRM/R/Lookback.R
QFRM/R/HolderExtendible.R
QFRM/R/DeferredPayment.R
QFRM/R/Binary.R
QFRM/R/AverageStrike.R
QFRM/R/ForwardStart.R
QFRM/R/QFRM.R
QFRM/R/ForeignEquity.R
QFRM/R/VarianceSwap.R
QFRM/R/Chooser.R
QFRM/R/Barrier.R
QFRM/R/Rainbow.R
QFRM/R/Shout.R
QFRM/R/Asian.R
QFRM/R/Perpetual.R
QFRM/R/Compound.R
QFRM/R/Ladder.R
QFRM/R/Gap.R
QFRM/README.md
QFRM/MD5
QFRM/DESCRIPTION
QFRM/man
QFRM/man/ShoutLT.Rd
QFRM/man/VarianceSwapMC.Rd
QFRM/man/AsianMC.Rd
QFRM/man/OptPos.Rd
QFRM/man/OptPx.Rd
QFRM/man/GapMC.Rd
QFRM/man/is.OptPos.Rd
QFRM/man/LookbackBS.Rd
QFRM/man/as.OptPos.Rd
QFRM/man/ForwardStartBS.Rd
QFRM/man/CompoundLT.Rd
QFRM/man/ForwardStartMC.Rd
QFRM/man/BOPM.Rd
QFRM/man/BarrierLT.Rd
QFRM/man/BS_Simple.Rd
QFRM/man/LadderMC.Rd
QFRM/man/pbnorm.Rd
QFRM/man/Binary_BOPM.Rd
QFRM/man/ChooserLT.Rd
QFRM/man/QuotientMC.Rd
QFRM/man/ShoutMC.Rd
QFRM/man/ForeignEquityBS.Rd
QFRM/man/BarrierBS.Rd
QFRM/man/AverageStrikeMC.Rd
QFRM/man/VarianceSwapBS.Rd
QFRM/man/PerpetualBS.Rd
QFRM/man/Profit.Rd
QFRM/man/BinaryBS.Rd
QFRM/man/LookbackMC.Rd
QFRM/man/ChooserMC.Rd
QFRM/man/QuotientBS.Rd
QFRM/man/CompoundBS.Rd
QFRM/man/is.OptPx.Rd
QFRM/man/Opt.Rd
QFRM/man/GapBS.Rd
QFRM/man/HolderExtendibleBS.Rd
QFRM/man/AsianBS.Rd
QFRM/man/BinaryMC.Rd
QFRM/man/BS.Rd
QFRM/man/BarrierMC.Rd
QFRM/man/RainbowBS.Rd
QFRM/man/ShoutLTVectorized.Rd
QFRM/man/ChooserBS.Rd
QFRM/man/BOPM_Eu.Rd
QFRM/man/DeferredPaymentLT.Rd
QFRM/man/is.Opt.Rd
QFRM/man/ShoutFD.Rd
QFRM/man/GapLT.Rd