shill1729/pricing: Option pricing engines for (jump)-diffusions
European and American option pricing, hedging, and calibration. Models provided are Black-Scholes, Brigo-Mercurio Mixture, and Merton's jump diffusion. Monte-Carlo and finite-difference solvers are available for European options while just the latter is provided to price American options.
Getting started
Browse package contents
Package details |
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| Author | S. Hill |
| Maintainer | S. Hill <52792611+shill1729@users.noreply.github.com> |
| License | GPL-3 |
| Version | 0.1.0 |
| Package repository | View on GitHub |
| Installation |
Install the latest version of this package by entering the following in R:
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