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multiAssetOptions (version 0.1-2)

Finite Difference Method for Multi-Asset Option Valuation

Description

Efficient finite difference method for valuing European and American multi-asset options.

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Version

Install

install.packages('multiAssetOptions')

Monthly Downloads

154

Version

0.1-2

License

GPL-2 | GPL-3

Maintainer

Michael Eichenberger

Last Published

April 20th, 2021

Functions in multiAssetOptions (0.1-2)

multiAssetOption

Finite Difference Method for Multi-Asset Option Valuation
payoff

Multi-Asset Option Payoff Calculator
multiAssetOptions-package

Finite Difference Method for Multi-Asset Option Valuation
matrixFDM

Finite Difference Matrix Generator
plotOptionValues

Plot Option Values Over Time
nodeSpacer

Non-Uniform Finite Difference Node Spacer