Option pricing models

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Option pricing models

Suman Narayan
Hi,
I am currently doing a project in which I wish to calculate the
calculate the theoretical price of options using the following models:

1. Constant Elasticity of Variance (CEV) model
2. Merton's jump diffusion model
3. Variance Gamma model

I am not sure as to how to implement this in R. I request you to help
me in this regard.

Thanks,
~Suman

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Re: Option pricing models

Arun.stat
Did you explore the "fOptions" package? Apart from lot of in-build functionalities you would see there lot of good references on options pricing.

Thanks,