PricingMixedTS: Option Pricing with exponential MixedTS process

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

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Functions

DataOpt Man page
EsscherMartingaleMeasure Man page
IncompleteMarket Man page
MartingaleMeasure Man page
OptionPrice Man page
OptionPrice,generic Man page
OptionPrice,param.MixedTS-method Man page
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

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

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