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.


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install.packages("pcalls")

1.0 by Elia Degiorgi, a year ago


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


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


Documentation:   PDF Manual  


GPL-3 license



See at CRAN