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derivmkts (version 0.2.5.1)

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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Version

Install

install.packages('derivmkts')

Monthly Downloads

394

Version

0.2.5.1

License

MIT + file LICENSE

Issues

8

Pull Requests

1

Stars

35

Forks

14

Maintainer

Robert McDonald

Last Published

February 10th, 2026

Functions in derivmkts (0.2.5.1)

simprice

Simulate asset prices
jumps

Option pricing with jumps
implied

Black-Scholes implied volatility and price
compound

Compound options
asiangeomavg

Geometric average asian options
geomasianmc

Geometric Asian option prices computed by Monte Carlo
bondsimple

Simple Bond Functions
arithavgpricecv

Control variate asian call price
binom

Binomial option pricing
blksch

Black-Scholes option pricing
greeks

Calculate option Greeks
arithasianmc

Asian Monte Carlo option pricing
barriers

Barrier option pricing
perpetual

Perpetual American options
quincunx

Quincunx simulation