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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install.packages('OptHedging')

Monthly Downloads

200

Version

1.0

License

GPL (>= 2)

Maintainer

Last Published

October 11th, 2013

Functions in OptHedging (1.0)