OptionPricing: Option Pricing with Efficient Simulation Algorithms

Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.

Version: 0.1
Published: 2014-11-08
Author: Kemal Dingec, Wolfgang Hormann
Maintainer: Wolfgang Hormann <hormannw at boun.edu.tr>
License: GPL-2 | GPL-3
Copyright: Wolfgang Hormann
NeedsCompilation: no
In views: Finance
CRAN checks: OptionPricing results


Reference manual: OptionPricing.pdf
Package source: OptionPricing_0.1.tar.gz
Windows binaries: r-devel: OptionPricing_0.1.zip, r-release: OptionPricing_0.1.zip, r-oldrel: OptionPricing_0.1.zip
OS X binaries: r-release: OptionPricing_0.1.tgz, r-oldrel: OptionPricing_0.1.tgz


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