Pricing of Different Types of Call

Compute the price of different types of call using different methods. The types available are Vanilla European Calls, Vanilla American Calls and American Digital Calls. Available methods are Montecarlo Simulation, Montecarlo Simulation with Antithetic Variates, Black-Scholes and the Binary Tree.


Reference manual

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1.0 by Elia Degiorgi, a year ago

Browse source code at

Authors: Elia Degiorgi , Federico Milan , Davide Zaramella , Valerija Stoeva

Documentation:   PDF Manual  

GPL-3 license

See at CRAN