PricingMixedTS: Option Pricing with exponential MixedTS process

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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.

Author
Lorenzo Mercuri, Edit Rroji
Date of publication
2016-03-09 20:14:32
Maintainer
Lorenzo Mercuri <lorenzo.mercuri@unimi.it>
License
GPL (>= 2)
Version
1.0.2

View on R-Forge

Man pages

DataOpt
Options Information available on 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...

Files in this package

PricingMixedTS/DESCRIPTION
PricingMixedTS/NAMESPACE
PricingMixedTS/R
PricingMixedTS/R/MethodForCalibration.R
PricingMixedTS/R/MethodForOptionPrices.R
PricingMixedTS/R/PricingMixedTS.R
PricingMixedTS/man
PricingMixedTS/man/DataOpt.Rd
PricingMixedTS/man/OptionData-class.rd
PricingMixedTS/man/OptionPrice.Rd
PricingMixedTS/man/PricingMixedTS-package.Rd
PricingMixedTS/man/Qparam.MixedTS.Rd