Basic Option Valuation
The Rmetrics "Options" package is a collection of functions to
valuate basic pptions.
Package: || fOptions
Type: || Package
Version: || R 3.0.1
Date: || 2014
License: || GPL Version 2 or later
Copyright: || (c) 1999-2014 Rmetrics Assiciation
URL: || https://www.rmetrics.org
fOptions package provides function for pricing
and evaluationg basic options.
2 Plain Vanilla Option
This section provides a collection of functions to valuate
plain vanilla options. Included are functions for the
Generalized Black-Scholes option pricing model, for options
on futures, some utility functions, and print and summary
methods for options.
3 Binomial Tree Options
This section offers a collection of functions to valuate options in
the framework of the Binomial tree option approach.
4 Monte Carlo Options
In this section we provide functions to valuate options by Monte
Carlo methods. The functions include beside the main Monte Carlo
Simulator, example functions to generate Monte Carlo price paths
and to compute Monte Carlo price payoffs.
sobolInnovations Example for scrambled Sobol innovations
wienerPath Example for a Wiener price path
plainVanillaPayoff Example for the plain vanilla option's payoff
arithmeticAsianPayoff Example for the arithmetic Asian option's payoff
MonteCarloOption Monte Carlo Simulator for options
5 Low Discrepancy Sequences
This section provides three types of random number generators for
univorm and normal distributed deviates. These area pseudo random
number generator and a halton and sobol generator for low discrepancy
6 Heston Nandi Garch Fit
Her we provide functions to model the GARCH(1,1) price paths which
underly Heston and Nandi's option pricing model. The functions are:
hngarchSim simulates a Heston-Nandi Garch(1,1) process
hngarchFit fits parameters of a Heston Nandi Garch(1,1) model
7 Heston Nandi Garch Options
This section comes with functions to valuate Heston-Nandi options.
Provided are functions to compute the option price and the delta
and gamma sensitivities for call and put options.
fOptions Rmetrics package is written for educational
support in teaching "Computational Finance and Financial Engineering"
and licensed under the GPL.