piotrek-orlowski/transformOptionPricer: Characteristic-function based option pricer.

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.

Getting started

Package details

AuthorPiotr Orlowski, Andras Sali
MaintainerPiotr Orlowski <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
piotrek-orlowski/transformOptionPricer documentation built on July 17, 2018, 7:16 a.m.