piotrek-orlowski/divergenceModelR: Divergence pricing and divergence-based affine model estimation
Version 0.0.1

Pricing and estimation algorithms for affine jump diffusion models for divergence contracts (see Schneider and Trojani, ``Divergence and the Price of Uncertainty'')

Getting started

Package details

AuthorPiotr Or{\l}owski, Andr{\'a}s Sali
MaintainerPiotr Or{\l}owski <[email protected]>
LicenseGPL > 2.0?
Version0.0.1
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("piotrek-orlowski/divergenceModelR")
piotrek-orlowski/divergenceModelR documentation built on June 21, 2017, 6:23 a.m.