Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.
| Version: | 0.1 |
| Published: | 2014-11-08 |
| Author: | Kemal Dingec, Wolfgang Hormann |
| Maintainer: | Wolfgang Hormann <hormannw at boun.edu.tr> |
| 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.tar.gz |
| Windows binaries: | r-devel: OptionPricing_0.1.zip, r-release: OptionPricing_0.1.zip, r-oldrel: OptionPricing_0.1.zip |
| macOS binaries: | r-release: OptionPricing_0.1.tgz, r-oldrel: OptionPricing_0.1.tgz |
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