Option Pricing with Efficient Simulation Algorithms

Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.


Reference manual

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0.1 by Wolfgang Hormann, 7 years ago

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

Authors: Kemal Dingec , Wolfgang Hormann

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-2 | GPL-3 license

See at CRAN