| Name : R-LSMonteCarlo
| |
| Version : 1.0
| Vendor : obs://build_opensuse_org/devel:languages:R
|
| Release : lp153.2.13
| Date : 2024-06-14 11:34:08
|
| Group : Development/Libraries/Other
| Source RPM : R-LSMonteCarlo-1.0-lp153.2.13.src.rpm
|
| Size : 0.11 MB
| |
| Packager : (none)
| |
| Summary : American options pricing with Least Squares Monte Carlo method
|
Description :
The package compiles functions for calculating prices of American put
options with Least Squares Monte Carlo method. The option types are
plain vanilla American put, Asian American put, and Quanto American
put. The pricing algorithms include variance reduction techniques such
as Antithetic Variates and Control Variates. Additional functions are
given to derive \"price surfaces\" at different volatilities and strikes,
create 3-D plots, quickly generate Geometric Brownian motion, and
calculate prices of European options with Black & Scholes analytical
solution.
|
RPM found in directory: /packages/linux-pbone/ftp5.gwdg.de/pub/opensuse/repositories/devel:/languages:/R:/autoCRAN/openSUSE_Leap_15.3/x86_64 |
