BCC1997 (0.1.1)

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Calculation of Option Prices Based on a Universal Solution.

http://cran.r-project.org/web/packages/BCC1997

Calculates the prices of European options based on the universal solution provided by Bakshi, Cao and Chen (1997) . This solution considers stochastic volatility, stochastic interest and random jumps. Please cite their work if this package is used.

Maintainer: Haoran Zhang
Author(s): Haoran Zhang

License: GPL (>= 2)

Uses: Does not use any package

Released about 2 years ago.

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