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OptionPricing (version 0.1)

Option Pricing with Efficient Simulation Algorithms

Description

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

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Version

Install

install.packages('OptionPricing')

Monthly Downloads

296

Version

0.1

License

GPL-2 | GPL-3

Maintainer

Wolfgang Hormann

Last Published

November 8th, 2014

Functions in OptionPricing (0.1)

OptionPricing-package

Option Pricing and Greeks Estimation for Asian and European Options
AsianCall

Calculates the Price, Delta and Gamma of an Asian Option
BS_EC

Black-Scholes Formula for European Call and Put
AsianCall_AppLord

Asian Options - Approximation