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 <[email protected]>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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multiAssetOptions documentation built on May 29, 2017, 9:05 a.m.