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derivmkts (version 0.2.5)

Functions and R Code to Accompany Derivatives Markets

Description

A set of pricing and expository functions that should be useful in teaching a course on financial derivatives.

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Version

Install

install.packages('derivmkts')

Monthly Downloads

797

Version

0.2.5

License

MIT + file LICENSE

Maintainer

Robert McDonald

Last Published

April 11th, 2022

Functions in derivmkts (0.2.5)

bondsimple

Simple Bond Functions
quincunx

Quincunx simulation
greeks

Calculate option Greeks
implied

Black-Scholes implied volatility and price
geomasianmc

Geometric Asian option prices computed by Monte Carlo
jumps

Option pricing with jumps
blksch

Black-Scholes option pricing
binom

Binomial option pricing
asiangeomavg

Geometric average asian options
barriers

Barrier option pricing
arithavgpricecv

Control variate asian call price
arithasianmc

Asian Monte Carlo option pricing
simprice

Simulate asset prices
compound

Compound options
perpetual

Perpetual American options