OptionPricer: OptionPricer: An option pricer for European and American...
In shill1729/OptionPricer: An option pricer for European and American vanilla stock options
Description
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.
shill1729/OptionPricer documentation built on June 11, 2020, 12:18 a.m.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Description
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.
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
Embedding an R snippet on your website
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.