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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
0.1.2
0.1.1
0.1
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Install
install.packages('OptionPricing')
Monthly Downloads
433
Version
0.1
License
GPL-2 | GPL-3
Maintainer
Wolfgang Hormann
Last Published
November 8th, 2014
Functions in OptionPricing (0.1)
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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