Option Pricing with Efficient Simulation Algorithms

Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.


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install.packages("OptionPricing")

0.1 by Wolfgang Hormann, 5 years ago


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


Authors: Kemal Dingec , Wolfgang Hormann


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-2 | GPL-3 license



See at CRAN