BCC1997
Calculation of Option Prices Based on a Universal Solution
Calculates the prices of European options based on the universal solution provided by Bakshi, Cao and Chen (1997) <doi:10.1111/j.1540-6261.1997.tb02749.x>. This solution considers stochastic volatility, stochastic interest and random jumps. Please cite their work if this package is used.
- Version0.1.1
- R version≥ 3.1.0
- LicenseGPL-2
- LicenseGPL-3
- Needs compilation?No
- Bakshi, Cao and Chen (1997)
- Last release02/22/2017
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Team
Haoran Zhang
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