pcalls: Pricing of Different Types of Call

Compute the price of different types of call using different methods. The types available are Vanilla European Calls, Vanilla American Calls and American Digital Calls. Available methods are Montecarlo Simulation, Montecarlo Simulation with Antithetic Variates, Black-Scholes and the Binary Tree.

Package details

AuthorElia Degiorgi, Federico Milan, Davide Zaramella, Valerija Stoeva
MaintainerElia Degiorgi <degioe@usi.ch>
Package repositoryView on CRAN
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pcalls documentation built on May 2, 2020, 5:05 p.m.