Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.
| Version: | 0.1.2 |
| Published: | 2023-09-16 |
| DOI: | 10.32614/CRAN.package.OptionPricing |
| Author: | Wolfgang Hormann [aut, cre], Kemal Dingec [aut] |
| Maintainer: | Wolfgang Hormann <hormanngw at yahoo.com> |
| License: | GPL-2 | GPL-3 |
| Copyright: | Wolfgang Hormann |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | OptionPricing results |
| Reference manual: | OptionPricing.pdf |
| Package source: | OptionPricing_0.1.2.tar.gz |
| Windows binaries: | r-devel: OptionPricing_0.1.2.zip, r-release: OptionPricing_0.1.2.zip, r-oldrel: OptionPricing_0.1.2.zip |
| macOS binaries: | r-release (arm64): OptionPricing_0.1.2.tgz, r-oldrel (arm64): OptionPricing_0.1.2.tgz, r-release (x86_64): OptionPricing_0.1.2.tgz, r-oldrel (x86_64): OptionPricing_0.1.2.tgz |
| Old sources: | OptionPricing archive |
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