pricing-package: pricing: Option pricing engines for (jump)-diffusions
In shill1729/pricing: Option pricing engines for (jump)-diffusions
Description
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.
shill1729/pricing documentation built on Jan. 9, 2022, 12:56 a.m.
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Description
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.
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.
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