multiAssetOptions: Finite Difference Method for Multi-Asset Option Valuation
Version 0.1-1

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

Package details

AuthorMichael Eichenberger and Carlo Rosa
Date of publication2015-01-31 11:39:28
MaintainerMichael Eichenberger <>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the multiAssetOptions package in your browser

Any scripts or data that you put into this service are public.

multiAssetOptions documentation built on May 29, 2017, 9:05 a.m.