shill1729/OptionPricer: An option pricer for European and American vanilla stock options

Pricing engines for the following dynamics are provided: geometric Brownian motion, Merton's jump-diffusion, and Kou's jump-diffusion. The engines include a PDE solver, a PIDE solver, and a Monte-Carlo estimator. The former two can handle the corresponding (integro)-variational inequalities for pricing American options as well. Analytic formulas for European options are provided for models that admit manageable ones, like Black-Scholes, the exponential compensated Poisson process, and the semi-analytic formula for pricing under Merton's jump diffusion.

install.packages("remotes")
remotes::install_github("shill1729/OptionPricer")