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FER

Financial Engineering in R

Contents

  • Black-Scholes model: option price and implied volatility
  • Bachelier model: option price and implied volatility
  • Constant-Elasticity-of-Variance (CEV) model: option price
  • Stochastic-Alpha-Beta-Rho (SABR) model: equivalent BS volatility and price

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Version

Install

install.packages('FER')

Monthly Downloads

225

Version

0.94

License

GPL (>= 2)

Issues

2

Pull Requests

0

Stars

12

Forks

5

Maintainer

Jaehyuk Choi

Last Published

March 5th, 2021

Functions in FER (0.94)

BachelierImpvol

Calculate Bachelier model implied volatility
CevPrice

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

Calculate the mass at zero under the CEV model
BachelierPrice

Calculate Bachelier model option price
SpreadKirk

Kirk's approximation for spread option
SwitchMargrabe

Margrabe's formula for exhange option price
BlackScholesPrice

Calculate Black-Scholes option price
Nsvh1Choi2019

Calculate the option price under the NSVh model with lambda=1 (Choi et al. 2019)
SabrHagan2002

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

Spread option under the Bachelier model
SpreadBjerksund2014

Spread option pricing method by Bjerksund & Stensland (2014)
BlackScholesImpvol

Calculate Black-Scholes implied volatility