QFRM: Pricing of Vanilla and Exotic Option Contracts
Version 1.0.1

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.

Getting started

Package details

AuthorOleg 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 publication2015-07-28 00:48:19
MaintainerOleg Melnikov <[email protected]>
LicenseGPL (>= 2)
Version1.0.1
URL http://Oleg.Rice.edu
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("QFRM")

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QFRM documentation built on May 29, 2017, 10:12 p.m.