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:
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')) |
This package does not link to any Github/Gitlab/R-forge repository. No issue tracker or development information is available.
Last updated 11 years agofrom:8fb88f628e. Checks:OK: 1 NOTE: 1. Indexed: yes.
| Target | Result | Date |
|---|---|---|
| Doc / Vignettes | OK | Nov 18 2024 |
| R-4.5-linux-x86_64 | NOTE | Nov 18 2024 |
Exports:hedging.iidHedgingIIDinterpol1dinterpolation1d
Dependencies:
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Value and optimal hedging strategy for a call or a put option using simulations. | hedging.iid HedgingIID |
| Linear interpolation function. | interpol1d interpolation1d |