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.
|Author||Piotr Orlowski, Andras Sali|
|Maintainer||Piotr Orlowski <[email protected]>|
|License||GPL (>= 2)|
|Package repository||View on GitHub|
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