BCC1997 (0.1.1)
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 almost 3 years ago.
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