multiAssetOptions: Finite Difference Method for Multi-Asset Option Valuation

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Efficient finite difference method for valuing European and American multi-asset options.

Author
Michael Eichenberger and Carlo Rosa
Date of publication
2015-01-31 11:39:28
Maintainer
Michael Eichenberger <mike.eichenberger@gmail.com>
License
GPL-2 | GPL-3
Version
0.1-1

View on CRAN

Man pages

matrixFDM
Finite Difference Matrix Generator
multiAssetOption
Finite Difference Method for Multi-Asset Option Valuation
multiAssetOptions-package
Finite Difference Method for Multi-Asset Option Valuation
nodeSpacer
Non-Uniform Finite Difference Node Spacer
payoff
Multi-Asset Option Payoff Calculator
plotOptionValues
Plot Option Values Over Time

Files in this package

multiAssetOptions
multiAssetOptions/inst
multiAssetOptions/inst/doc
multiAssetOptions/inst/doc/multiAssetOptions-manual.pdf
multiAssetOptions/NAMESPACE
multiAssetOptions/R
multiAssetOptions/R/plotOptionValues.R
multiAssetOptions/R/multiAssetOption.R
multiAssetOptions/R/matrixFDM.R
multiAssetOptions/R/payoff.R
multiAssetOptions/R/nodeSpacer.R
multiAssetOptions/MD5
multiAssetOptions/DESCRIPTION
multiAssetOptions/man
multiAssetOptions/man/payoff.Rd
multiAssetOptions/man/multiAssetOption.Rd
multiAssetOptions/man/multiAssetOptions-package.Rd
multiAssetOptions/man/matrixFDM.Rd
multiAssetOptions/man/nodeSpacer.Rd
multiAssetOptions/man/plotOptionValues.Rd