PricingMixedTS: Option Pricing with exponential MixedTS process
Version 1.0.2

The package provides several routines for option pricing with general Levy process. Specific methods are available when the underlying asset prices is an exponential MixedTS process.

AuthorLorenzo Mercuri, Edit Rroji
Date of publication2016-03-09 20:14:32
MaintainerLorenzo Mercuri <lorenzo.mercuri@unimi.it>
LicenseGPL (>= 2)
Version1.0.2
Package repositoryView on R-Forge
InstallationInstall the latest version of this package by entering the following in R:
install.packages("PricingMixedTS", repos="http://R-Forge.R-project.org")

Getting started

Package overview

Popular man pages

DataOpt: Options Information available on the markets.
OptionData-class: 'OptionData': A class for options available in the markets.
OptionPrice: 'OptionPrice': Method for Evaluation of a CALL/PUT Option.
PricingMixedTS-package: Option Pricing with exponential MixedTS process
Qparam.MixedTS: 'Qparam.MixedTS': MixedTS parameters under Esscher Martingale...
See all...

All man pages Function index File listing

Man pages

DataOpt: Options Information available on the markets.
OptionData-class: 'OptionData': A class for options available in the markets.
OptionPrice: 'OptionPrice': Method for Evaluation of a CALL/PUT Option.
PricingMixedTS-package: Option Pricing with exponential MixedTS process
Qparam.MixedTS: 'Qparam.MixedTS': MixedTS parameters under Esscher Martingale...

Functions

DataOpt Man page Source code
EsscherMartingaleMeasure Man page
IncompleteMarket Man page
MartingaleMeasure Man page
OptBSprice Source code
OptionData-class Man page
OptionPrice Man page
OptionPrice,generic Man page
OptionPrice,param.MixedTS-method Man page
OptionPrice.aux Source code
PricingMeasure Man page
PricingMixedTS Man page
PricingMixedTS-package Man page
Qparam.MixedTS Man page
Qparam.MixedTS,generic Man page
Qparam.MixedTS,param.MixedTS-method Man page
Qparam.MixedTS.aux Source code
aux.FFTpriceCall Source code
aux.GenerOptMrk Source code
calibrateaux Source code
initialize,OptionData-method Man page
loglikCalib Source code
objectfn Source code

Files

DESCRIPTION
NAMESPACE
R
R/MethodForCalibration.R
R/MethodForOptionPrices.R
R/PricingMixedTS.R
man
man/DataOpt.Rd
man/OptionData-class.rd
man/OptionPrice.Rd
man/PricingMixedTS-package.Rd
man/Qparam.MixedTS.Rd
PricingMixedTS documentation built on May 21, 2017, 1:36 a.m.

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