multiAssetOptions: Finite Difference Method for Multi-Asset Option Valuation

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

Package details

AuthorMichael Eichenberger and Carlo Rosa
MaintainerMichael Eichenberger <>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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multiAssetOptions documentation built on April 20, 2021, 5:06 p.m.