Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.
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0.1.2 by Wolfgang Hormann, 3 years ago
Browse source code at https://github.com/cran/OptionPricing
Authors: Wolfgang Hormann [aut, cre] , Kemal Dingec [aut]
Documentation: PDF Manual
GPL-2 | GPL-3 license
See at CRAN