Package for financial options calculation

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Package for financial options calculation

Arun.stat
Hi all,

Is there any R package on "European/American oprions pricing"? And on
calculation of it's sensitivities?

Regards,

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Re: Package for financial options calculation

Jeffrey 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]]

______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.