Package: BCC1997 0.1.1

Haoran Zhang

BCC1997: Calculation of Option Prices Based on a Universal Solution

Calculates the prices of European options based on the universal solution provided by Bakshi, Cao and Chen (1997) <doi:10.1111/j.1540-6261.1997.tb02749.x>. This solution considers stochastic volatility, stochastic interest and random jumps. Please cite their work if this package is used.

Authors:Haoran Zhang

BCC1997_0.1.1.tar.gz
BCC1997_0.1.1.tar.gz(r-4.5-noble)BCC1997_0.1.1.tar.gz(r-4.4-noble)
BCC1997_0.1.1.tgz(r-4.4-emscripten)BCC1997_0.1.1.tgz(r-4.3-emscripten)
BCC1997.pdf |BCC1997.html
BCC1997/json (API)

# Install 'BCC1997' in R:
install.packages('BCC1997', repos = c('https://cran.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.

1.00 score 1 scripts 582 downloads 1 exports 0 dependencies

Last updated 8 years agofrom:20f7f43e5e. Checks:OK: 2. Indexed: yes.

TargetResultDate
Doc / VignettesOKDec 19 2024
R-4.5-linuxOKDec 19 2024

Exports:BCC

Dependencies: