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.


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Reference manual

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install.packages("fOptions")

3042.86 by Tobias Setz, 2 years ago


http://www.rmetrics.org


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.


See at CRAN