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.

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 <XisReal@gmail.com>
LicenseGPL (>= 2)
Version1.0.1
http://Oleg.Rice.edu

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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)...

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