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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.
| Version: | 0.1.1 |
| Depends: | R (≥ 3.1.0) |
| Imports: | stats |
| Published: | 2017-02-22 |
| Author: | Haoran Zhang |
| Maintainer: | Haoran Zhang <hzz0017 at auburn.edu> |
| License: | GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| NeedsCompilation: | no |
| In views: | Finance |
| CRAN checks: | BCC1997 results |
| Reference manual: | BCC1997.pdf |
| Package source: | BCC1997_0.1.1.tar.gz |
| Windows binaries: | r-devel: BCC1997_0.1.1.zip, r-release: BCC1997_0.1.1.zip, r-oldrel: BCC1997_0.1.1.zip |
| macOS binaries: | r-release (arm64): BCC1997_0.1.1.tgz, r-oldrel (arm64): BCC1997_0.1.1.tgz, r-release (x86_64): BCC1997_0.1.1.tgz, r-oldrel (x86_64): BCC1997_0.1.1.tgz |
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