gfunk0704/StochasticVolatility: COS Option Pricing For Stochastic Volatility Model

This package provide the COS method to price many different types of financial derivative under Heston and double Heston model

Getting started

Package details

AuthorJui Lu
MaintainerJui Lu<[email protected]>
LicenseWhat license is it under?
Version1.0
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("gfunk0704/StochasticVolatility")
gfunk0704/StochasticVolatility documentation built on Nov. 4, 2018, 1:48 a.m.