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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.

Version: 0.1.2
Published: 2023-09-16
DOI: 10.32614/CRAN.package.OptionPricing
Author: Wolfgang Hormann [aut, cre], Kemal Dingec [aut]
Maintainer: Wolfgang Hormann <hormanngw at yahoo.com>
License: GPL-2 | GPL-3
Copyright: Wolfgang Hormann
NeedsCompilation: no
In views: Finance
CRAN checks: OptionPricing results

Documentation:

Reference manual: OptionPricing.pdf

Downloads:

Package source: OptionPricing_0.1.2.tar.gz
Windows binaries: r-devel: OptionPricing_0.1.2.zip, r-release: OptionPricing_0.1.2.zip, r-oldrel: OptionPricing_0.1.2.zip
macOS binaries: r-release (arm64): OptionPricing_0.1.2.tgz, r-oldrel (arm64): OptionPricing_0.1.2.tgz, r-release (x86_64): OptionPricing_0.1.2.tgz, r-oldrel (x86_64): OptionPricing_0.1.2.tgz
Old sources: OptionPricing archive

Linking:

Please use the canonical form https://CRAN.R-project.org/package=OptionPricing to link to this page.

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.