multiAssetOptions-package: Finite Difference Method for Multi-Asset Option Valuation
In multiAssetOptions: Finite Difference Method for Multi-Asset Option Valuation
Description
This package implements an efficient finite difference method for valuing multi-asset options in the Black-Scholes world. The model assumes static volatilities and correlations. The implementation allows users to vary the option setup (number of underlying assets, call vs. put, European vs. American, etc.) as well as some of the features of the numerical method (mesh spacing, timestepping scheme, etc.).
Details
Package: multiAssetOptions
Type: Package
Version: 0.1-2
Date: 2021-04-20
License: GPL-2 | GPL-3
This package contains the function multiAssetOption, which implements a generalized version of the finite difference method for option valuation. Several sub-functions are included in this package to improve code clarity and presentation.
Author(s)
Michael Eichenberger and Carlo Rosa
Maintainer: Michael Eichenberger <mike.eichenberger@gmail.com>
multiAssetOptions documentation built on April 20, 2021, 5:06 p.m.
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Description
This package implements an efficient finite difference method for valuing multi-asset options in the Black-Scholes world. The model assumes static volatilities and correlations. The implementation allows users to vary the option setup (number of underlying assets, call vs. put, European vs. American, etc.) as well as some of the features of the numerical method (mesh spacing, timestepping scheme, etc.).
Details
| Package: | multiAssetOptions |
| Type: | Package |
| Version: | 0.1-2 |
| Date: | 2021-04-20 |
| License: | GPL-2 | GPL-3 |
This package contains the function multiAssetOption, which implements a generalized version of the finite difference method for option valuation. Several sub-functions are included in this package to improve code clarity and presentation.
Author(s)
Michael Eichenberger and Carlo Rosa
Maintainer: Michael Eichenberger <mike.eichenberger@gmail.com>
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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