Package: OptHedging 1.0

Bruno Remillard

OptHedging: Estimation of value and hedging strategy of call and put options.

Estimation of value and hedging strategy of call and put options, based on optimal hedging and Monte Carlo method, from Chapter 3 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).

Authors:Bruno Remillard

OptHedging_1.0.tar.gz
OptHedging_1.0.tar.gz(r-4.5-noble)OptHedging_1.0.tar.gz(r-4.4-noble)
OptHedging_1.0.tgz(r-4.4-emscripten)OptHedging_1.0.tgz(r-4.3-emscripten)
OptHedging.pdf |OptHedging.html
OptHedging/json (API)

# Install 'OptHedging' in R:
install.packages('OptHedging', 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.

1.30 score 2 stars 3 scripts 133 downloads 4 exports 0 dependencies

Last updated 11 years agofrom:8fb88f628e. Checks:OK: 1 NOTE: 1. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 31 2024
R-4.5-linux-x86_64NOTEOct 31 2024

Exports:hedging.iidHedgingIIDinterpol1dinterpolation1d

Dependencies: