The package allows for efficient calculation of certain European- style derivatives (call options, digital options) via transform methods. The code is fully vectorized in the following dimensions: strike range, maturity, state variable value (for stochastic volatility models). The user has to pass a characteristic function evaluator as an argument to the transform pricers. By default, the package affineModelR, which implements a wide range of jump- diffusion specifications in fast c++ code, is used as the characteristic function back-end.
Package details |
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Author | Piotr Orlowski, Andras Sali |
Maintainer | Piotr Orlowski <piotrek.orlowski@gmail.com> |
License | GPL (>= 2) |
Version | 0.1 |
Package repository | View on GitHub |
Installation |
Install the latest version of this package by entering the following in R:
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