LSMonteCarlo

cranv1.0

American options pricing with Least Squares Monte Carlo method. 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

License GPL-3strong copyleft4 versions1 maintainers6 deps80 weekly dl
https://CRAN.R-project.org/package=LSMonteCarlo
42
/ 100
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safe to use

[email protected] is safe to use (health: 42/100)

Health breakdown0 – 100
0/25
maintenance
0/20
popularity
25/25
security
15/15
maturity
2/15
community
Vulnerabilities
0
none known

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Dependency Tree

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Dependencies (6)
mvtnormfBasicsstatsutilsgraphicsgrDevices
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First published · 2013-09-23 17:07:45

Last updated · 2013-09-23T23:07:43+00:00