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Package for financial options calculation
2 messages · Arun Kumar Saha, Jeff Ryan
Take a look at the fOptions package, as well as all the packages in Rmetrics (see www.rmetrics.org). There is also a wrapper to QuantLib called RQuantLib. Also, your question would have a better chance of being answered on the R-sig-finance mailing list. HTH Jeff
Arun Kumar Saha wrote:
Hi all, Is there any R package on "European/American oprions pricing"? And on calculation of it's sensitivities? Regards, [[alternative HTML version deleted]]
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