Financial Basket Options
Dirk Eddelbuettel <edd <at> debian.org> writes:
Sorry, I meant to chime in earlier on this. Did any of you look at QuantLib? AFAICT it has a basketoption class allowing for multiple assets, Monte Carlo pricers for american and european exercise as well as Stulz (1992) method. I often look at the available code via what's in the regression tests, so
Hi Dirk! My appologies if this is a question with an obvious answer: I'm used to getting R code libraries by looking on http://www.cran.r-project.org/ link Packages Where do I find QuantLib? Michel