OptHedging (version 1.0)

Estimation of value and hedging strategy of call and put options.

Description

Estimation of value and hedging strategy of call and put options, based on optimal hedging and Monte Carlo method, from Chapter 3 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).

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Version

Install

install.packages('OptHedging')

Monthly Downloads

179

Version

1.0

License

GPL (>= 2)

Homepage

http://www.r-project.org

Maintainer

Bruno Remillard

Last Published

October 11th, 2013

Functions in OptHedging (1.0)

hedging.iid

Value and optimal hedging strategy for a call or a put option using simulations.

interpol1d

Linear interpolation function.