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.

Package details

AuthorLorenzo Mercuri, Edit Rroji
Date of publication2016-03-09 20:14:32
MaintainerLorenzo Mercuri <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on R-Forge
Installation Install the latest version of this package by entering the following in R:
install.packages("PricingMixedTS", repos="")

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PricingMixedTS documentation built on May 31, 2017, 3:49 a.m.