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derivmkts (version 0.2.4)
Functions and R Code to Accompany Derivatives Markets
Description
A set of pricing and expository functions that should be useful in teaching a course on financial derivatives.
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Install
install.packages('derivmkts')
Monthly Downloads
712
Version
0.2.4
License
MIT + file LICENSE
Maintainer
Robert McDonald
Last Published
June 6th, 2019
Functions in derivmkts (0.2.4)
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asiangeomavg
Geometric average asian options
barriers
Barrier option pricing
geomasianmc
Geometric Asian option prices computed by Monte Carlo
compound
Compound options
arithavgpricecv
Control variate asian call price
binom
Binomial option pricing
greeks
Calculate option Greeks
arithasianmc
Asian Monte Carlo option pricing
bondsimple
Simple Bond Functions
blksch
Black-Scholes option pricing
perpetual
Perpetual American options
quincunx
Quincunx simulation
simprice
Simulate asset prices
jumps
Option pricing with jumps
implied
Black-Scholes implied volatility and price