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pcalls (version 1.0)

Pricing of Different Types of Call

Description

Compute the price of different types of call using different methods. The types available are Vanilla European Calls, Vanilla American Calls and American Digital Calls. Available methods are Montecarlo Simulation, Montecarlo Simulation with Antithetic Variates, Black-Scholes and the Binary Tree.

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Version

Install

install.packages('pcalls')

Monthly Downloads

163

Version

1.0

License

GPL-3

Maintainer

Elia Degiorgi

Last Published

May 2nd, 2020

Functions in pcalls (1.0)

BinaryTreeCalls

Function that prices a Call via Binary Tree
AmericanDigitalCalls

Function that returns the price of an American Digital Call
MontecarloAntitheticCalls

Function that prices a Call via Montecarlo simulation using antithetic variates
pcalls-package

pcalls
BlackscholesCalls

Function that prices a Call via Black-Scholes formula
MontecarloCalls

Function that prices a Call via Montecarlo simulation