Package: OptionPricing 0.1.2

Wolfgang Hormann

OptionPricing: Option Pricing with Efficient Simulation Algorithms

Efficient Monte Carlo Algorithms for the price and the sensitivities of Asian and European Options under Geometric Brownian Motion.

Authors:Wolfgang Hormann [aut, cre], Kemal Dingec [aut]

OptionPricing_0.1.2.tar.gz
OptionPricing_0.1.2.tar.gz(r-4.5-noble)OptionPricing_0.1.2.tar.gz(r-4.4-noble)
OptionPricing_0.1.2.tgz(r-4.4-emscripten)OptionPricing_0.1.2.tgz(r-4.3-emscripten)
OptionPricing.pdf |OptionPricing.html✨
OptionPricing/json (API)

# Install 'OptionPricing' in R:
install.packages('OptionPricing', repos = 'https://cloud.r-project.org')

On CRAN:

Conda:

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 356 downloads 4 exports 0 dependencies

Last updated 2 years agofrom:e57f9d4b35. Checks:3 OK. Indexed: yes.

TargetResultLatest binary
Doc / VignettesOKMar 09 2025
R-4.5-linuxOKMar 09 2025
R-4.4-linuxOKMar 09 2025

Exports:AsianCallAsianCall_AppLordBS_ECBS_EP

Dependencies:

Citation

To cite package ‘OptionPricing’ in publications use:

Hormann W, Dingec K (2023). OptionPricing: Option Pricing with Efficient Simulation Algorithms. R package version 0.1.2, https://CRAN.R-project.org/package=OptionPricing.

Corresponding BibTeX entry: 

  @Manual{,
    title = {OptionPricing: Option Pricing with Efficient Simulation
      Algorithms},
    author = {Wolfgang Hormann and Kemal Dingec},
    year = {2023},
    note = {R package version 0.1.2},
    url = {https://CRAN.R-project.org/package=OptionPricing},
  }