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, 4 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 ecd, wwntests.

See at CRAN