BCC1997 (0.1.1)

0 users

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 7 months ago.

Ratings

Overall:
  (0 votes)

Documentation:
  (0 votes)

Log in to vote.

Reviews

No one has written a review of BCC1997 yet. Want to be the first? Write one now.

Related packages: ChainLadder, CreditMetrics, MSBVAR, PerformanceAnalytics, Rcmdr, TSdbi, TTR, Zelig, backtest, car, copula, dlm, dse, dyn, dynlm, fAssets, fBasics, fBonds, fCopulae, fExoticOptions … (20 best matches, based on common tags.)

Search for BCC1997 on google, google scholar, r-help, r-devel.

Visit BCC1997 on R Graphical Manual.