Calculation of Option Prices Based on a Universal Solution

Calculates the prices of European options based on the universal solution provided by Bakshi, Cao and Chen (1997) . This solution considers stochastic volatility, stochastic interest and random jumps. Please cite their work if this package is used.


Reference manual

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0.1.1 by Haoran Zhang, 2 years ago

Browse source code at

Authors: Haoran Zhang

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

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