Collection of pricing by duplication and Monte Carlo methods for Express Certificates products (also known as Autocallables)
|Date of publication||2013-08-30 19:24:44|
|Maintainer||Stefan Wilhelm <email@example.com>|
|License||GPL (>= 2)|
BrownianBridgeMinimum: Distribution of the Minimum of a Brownian Bridge
calcBMProbability: Calculates probabilities for the Arithmetic Brownian Motion
calcGBMProbability: Calculates probabilities for the Geometric Brownian Motion
calcRedemptionProbabilities: Redemption Probabilities for Express Certificates
ExpressCertificate.Classic: Analytical and numerical pricing of Classic Express...
GeometricBrownianMotion: Simulate paths from a Arithmetic or Geometric Brownian Motion
getRedemptionTime: Redemption times
MonteCarlo.ExpressCertificate.Classic: Monte Carlo valuation of Classic Express Certificates
payoffExpress: Defining payoff functions for Express Certificates
print.express.certificate: Print method for express certificates
simPricesAndMinimumFromGBM: Simulation of the joint finite-dimensional distribution of...
simPricesAndMinimumFromTruncatedGBM: Simulation of the joint finite-dimensional distribution of a...
SimulateExpressCertificate: Monte Carlo Valuation of Express Certificates