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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).

Version: 1.0
Published: 2013-10-11
DOI: 10.32614/CRAN.package.OptHedging
Author: Bruno Remillard
Maintainer: Bruno Remillard <bruno.remillard at hec.ca>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: http://www.r-project.org, http://www.brunoremillard.com
NeedsCompilation: yes
In views: Finance
CRAN checks: OptHedging results

Documentation:

Reference manual: OptHedging.pdf

Downloads:

Package source: OptHedging_1.0.tar.gz
Windows binaries: r-devel: OptHedging_1.0.zip, r-release: OptHedging_1.0.zip, r-oldrel: OptHedging_1.0.zip
macOS binaries: r-release (arm64): OptHedging_1.0.tgz, r-oldrel (arm64): OptHedging_1.0.tgz, r-release (x86_64): OptHedging_1.0.tgz, r-oldrel (x86_64): OptHedging_1.0.tgz

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These binaries (installable software) and packages are in development.
They may not be fully stable and should be used with caution. We make no claims about them.