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.


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install.packages("BCC1997")

0.1.1 by Haoran Zhang, 2 years ago


Browse source code at https://github.com/cran/BCC1997


Authors: Haoran Zhang


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license


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See at CRAN