Estimation of value and hedging strategy of call and put options, based on optimal hedging and Monte Carlo method, from Chapter 3 of 'Statistical Methods for Financial Engineering', by Bruno Remillard, CRC Press, (2013).
| Version: | 1.0 |
| Published: | 2013-10-11 |
| DOI: | 10.32614/CRAN.package.OptHedging |
| Author: | Bruno Remillard |
| Maintainer: | Bruno Remillard <bruno.remillard at hec.ca> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: | http://www.r-project.org, http://www.brunoremillard.com |
| NeedsCompilation: | yes |
| In views: | Finance |
| CRAN checks: | OptHedging results |
| Reference manual: | OptHedging.html , OptHedging.pdf |
| Package source: | OptHedging_1.0.tar.gz |
| Windows binaries: | r-devel: OptHedging_1.0.zip, r-release: OptHedging_1.0.zip, r-oldrel: OptHedging_1.0.zip |
| macOS binaries: | r-release (arm64): OptHedging_1.0.tgz, r-oldrel (arm64): OptHedging_1.0.tgz, r-release (x86_64): OptHedging_1.0.tgz, r-oldrel (x86_64): OptHedging_1.0.tgz |
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