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FE-R

Financial Engineering functions in R

Contents

  • Black-Scholes option pricing model: price and implied volatility
  • Bachelier option pricing model: price and implied volatility

Installation

Install devtools package in run

library(devtools)
devtools::install_github("PyFE/FE-R", subdir="pkg")

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Version

Install

install.packages('FER')

Monthly Downloads

225

Version

0.91

License

GPL (>= 2)

Issues

2

Pull Requests

0

Stars

12

Forks

5

Maintainer

Jaehyuk Choi

Last Published

February 19th, 2021

Functions in FER (0.91)

BlackScholesImpvol

Calculate Black-Scholes implied volatility
SabrHagan2002

Calculate the equivalent BS volatility (Hagan et al. 2002) for the Stochatic-Alpha-Beta-Rho (SABR) model
CevPrice

Calculate the constant elasticity of variance (CEV) model option price
BachelierImpvol

Calculate Bachelier model implied volatility
BachelierPrice

Calculate Bachelier model option price
BlackScholesPrice

Calculate Black-Scholes option price