Rmetrics - Pricing and Evaluating Basic Options

Provides a collection of functions to valuate basic options. This includes the generalized Black-Scholes option, options on futures and options on commodity futures.


Reference manual

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3042.86 by Tobias Setz, 3 years ago


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

Authors: Diethelm Wuertz [aut] , Tobias Setz [cre] , Yohan Chalabi [ctb]

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL (>= 2) license

Imports graphics, methods, stats

Depends on timeDate, timeSeries, fBasics

Suggests RUnit, tcltk

Imported by CreditRisk, fExpressCertificates.

Depended on by fAsianOptions, fCertificates, fExoticOptions.

Suggested by ESGtoolkit, ecd, wwntests.

See at CRAN