Estimation of value and hedging strategy of call and put options.

Estimation of value and hedging strategy of call and put options, based on optimal hedging and Monte Carlo method, from Chapter 3 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).


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install.packages("OptHedging")

1.0 by Bruno Remillard, 6 years ago


http://www.r-project.org, http://www.brunoremillard.com


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


Authors: Bruno Remillard


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL (>= 2) license



See at CRAN